Search for dissertations about: "Georgios Foufas"
Found 3 swedish dissertations containing the words Georgios Foufas.
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1. Valuing path-dependent options using the finite element method and duality techniques
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2. Valuing Path-Dependent Options using the Finite Element Method and Duality Techniques
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3. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction
Abstract : In this thesis we develop an adaptive finite element method for pricing of several path-dependent options including barrier options, lookback options, and Asian options. The options are priced using the Black-Scholes PDE-model, and the resulting PDE:s are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates. READ MORE
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