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