Add to ORKGThis thesis investigates computational methods for pricing complex path-dependent derivative securities, especially geometric- & arithmetic-moving-average-lookback options. The latter security was rst issued by Polaris Securities in 1999. Our method- ology can be easily modied to price similarly structured options issued by other securities rms
As increasingly large volumes of sophisticated options (called derivative securities) are traded in ...
In recent years results from the theory of martingales has been successfully applied to problems in ...
Discrete barrier and lookback options are among the most popular path-dependent options in markets. ...
AbstractFinancial derivatives which are multivariate in nature are abundant in the financial markets...
In this thesis, various new methodologies for pricing multivariate path dependent options in closed ...
This article provides the economic foundations for valuing derivative securities. In particular, it ...
This work deals with the possibilities of financial derivatives pricing. Explained are especially ma...
textabstractSince the Nobel-prize winning papers of Black and Scholes and Merton in 1973, the deriv...
A financial derivative is a financial contract whose value depends upon other underlying variables, ...
The rapid development of new generations of risk-management products reflects a logical market respo...
AbstractIn this work, an analytic pricing formula for floating strike lookback options under Heston’...
Stock Options are financial instruments whose values depend upon future price movements of the under...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for tra...
In financial markets, investors are daily exposed to all kinds of investment risks. Choices have to ...
In the present thesis we study methods of nancial derivatives valuation. We use stochastic calculus ...
As increasingly large volumes of sophisticated options (called derivative securities) are traded in ...
In recent years results from the theory of martingales has been successfully applied to problems in ...
Discrete barrier and lookback options are among the most popular path-dependent options in markets. ...
AbstractFinancial derivatives which are multivariate in nature are abundant in the financial markets...
In this thesis, various new methodologies for pricing multivariate path dependent options in closed ...
This article provides the economic foundations for valuing derivative securities. In particular, it ...
This work deals with the possibilities of financial derivatives pricing. Explained are especially ma...
textabstractSince the Nobel-prize winning papers of Black and Scholes and Merton in 1973, the deriv...
A financial derivative is a financial contract whose value depends upon other underlying variables, ...
The rapid development of new generations of risk-management products reflects a logical market respo...
AbstractIn this work, an analytic pricing formula for floating strike lookback options under Heston’...
Stock Options are financial instruments whose values depend upon future price movements of the under...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for tra...
In financial markets, investors are daily exposed to all kinds of investment risks. Choices have to ...
In the present thesis we study methods of nancial derivatives valuation. We use stochastic calculus ...
As increasingly large volumes of sophisticated options (called derivative securities) are traded in ...
In recent years results from the theory of martingales has been successfully applied to problems in ...
Discrete barrier and lookback options are among the most popular path-dependent options in markets. ...