On the pricing of barrier options and related problems
Licentiatavhandling, 2000

discrete barrier options

trinomial method

rabate options

heat equation

barrier options

explicit finite difference method

heavy traffic approximation

Brownian motion

random walk

Författare

Per Hörfelt

Institutionen för matematik

Göteborgs universitet

Ämneskategorier

Beräkningsmatematik

Department of Mathematics, Chalmers University of Technology and Göteborg University: 2000:63