Richardson Extrapolation Techniques for the Pricing of Barrier Options
碩士 === 國立交通大學 === 財務金融研究所 === 105 === This thesis focuses on the improvement of accuracy in the barrier option pricing. The traditional way of static replication of barrier option is to match the value of points on the option’s value boundary, and get a portfolio which has the same payoff with targe...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/dutnys |