Search for dissertations about: "barrier option"

Showing result 1 - 5 of 24 swedish dissertations containing the words barrier option.

  2. 1. Valuing Path-Dependent Options using the Finite Element Method, Duality Techniques, and Model Reduction

    Author : Georgios Foufas; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; finite element method; Galerkin; duality; a posteriori error estimation; adaptivity; option pricing; Greeks; Brownian motion; European option; barrier option; lookback option; Asian option; average option; POD; model reduction; balanced truncation; lookback option;

    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

  4. 2. On the pricing equations of some path-dependent options

    Author : Jonatan Eriksson; Johan Tysk; Maciej Klimek; Tomas Björk; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; Parabolic partial differential equations; variational inequalities; American options; barrier options; monotonicity in the volatility; turbo warrants; pricing formulas; Matematisk analys; Mathematical analysis; Analys;

    Abstract : This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. READ MORE

  5. 3. Optimal Stopping and Model Robustness in Mathematical Finance

    Author : Henrik Wanntorp; Johan Tysk; Svante Janson; Boualem Djehiche; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Optimal stopping; model robustness; American options; free boundary problems; hedging; option pricing; Mathematical statistics; Matematisk statistik;

    Abstract : Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. READ MORE

  6. 4. Studies of barrier function in patients with ulcerative colitis and pouchitis

    Author : Mats Persborn; Johan Söderholm; Lars Börjesson; Maria Jenmalm; Linköpings universitet; []
    Keywords : MEDICINE; MEDICIN;

    Abstract : Background and aim: The cause of ulcerative colitis (UC) is largely unknown. However, there is a presumed genetic component to susceptibility and altered intestinal barrier function has been implicated in the pathophysiology of ulcerative colitis. READ MORE

  7. 5. Congenital Recessive Ichthyosis : Studies of Gene Expressions Related to Keratinocyte Differentiation and Skin Barrier Repair

    Author : Hanqian Zhang; Hans Törmä; Anders Vahlquist; Marie Virtanen; Mikael Ivarsson; Uppsala universitet; []
    Keywords : MEDICIN OCH HÄLSOVETENSKAP; MEDICAL AND HEALTH SCIENCES; genodermatoses; oligoarray; trancriptomics; transglutaminase-1; cornified envelope; peroxisome proliferator-activated receptor δ; all-trans retinoic acids.; Dermatologi och venereologi; Dermatology and Venerology;

    Abstract : Autosomal recessive congenital ichthyosis (ARCI) is a rare monogenetic disorder characterized by a defective skin barrier, hyperkeratosis, and dry, scaly skin. It affects keratinocyte differentiation and is caused by mutations in any of at least 12 genes believed to control the formation of ω-O-acylceramide and the corneocyte lipid envelope (CLE): ABCA12, ALOXE3, ALOX12B, CERS3, CYP4F22, ELOVL4, LIPN, NIPAL4, PNPLA1, SDR9C7, SLC27A4, and TGM1. READ MORE