Analytic approximations to the free boundary and multi-dimensional problems in financial derivatives pricing
This thesis studies two types of problems in financial derivatives pricing. The first type is the free boundary problem, which can be formulated as a partial differential equation (PDE) subject to a set of free boundary condition. Although the functional form of the free boundary condition is given...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2014
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| Online Access: | http://repository.lib.cuhk.edu.hk/en/item/cuhk-1291256 |