On the pricing equations of some path-dependent options
This thesis consists of four papers and a summary. The common topic of the included papers are the pricing equations of path-dependent options. Various properties of barrier options and American options are studied, such as convexity of option prices, the size of the continuation region in American...
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| Format: | Doctoral Thesis |
| Language: | English |
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Uppsala universitet, Matematiska institutionen
2006
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-6329 http://nbn-resolving.de/urn:isbn:91-506-1852-0 |