Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model
Includes bibliographical references. === We focus on the pricing of Bermudan and barrier options under the dynamics of the Heston stochastic volatility model. The two-dimensional nature of the Heston model makes the pricing of these options problematic, as the risk-neutral expectations need to be ca...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/8520 |