Search for dissertations about: "Per Hörfelt"

Found 2 swedish dissertations containing the words Per Hörfelt.

  2. 1. On the pricing of barrier options and related problems

    Author : Per Hörfelt; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; barrier options; discrete barrier options; rabate options; Brownian motion; heavy traffic approximation; random walk; trinomial method; explicit finite difference method; heat equation; discrete barrier options;

    Abstract : .... READ MORE

  4. 2. On the Pricing of Path-Dependent Options and Related Problems

    Author : Per Hörfelt; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Scholes model. The thesis focuses mainly on the three different classes of path-dependent options: barrier, Asian, and lookback options. The thesis consists of eight chapters. READ MORE