Model risk for barrier options when priced under different lévy dynamics
Year of publication: |
2011-08-10
|
---|---|
Authors: | Mbakwe, Chidnima |
Other Persons: | Ouwehand, Peter (contributor) |
Institutions: | University of Stellenbosch. Faculty of Science. Dept. of Mathematical Sciences. (contributor) |
Publisher: |
Stellenbosch : University of Stellenbosch |
Subject: | Option pricing | Levy processes | Monte Carlo methods | Mathematical Sciences |
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