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 |
| Type of publication: | Other |
|---|---|
| Language: | English |
| Source: | BASE |
Persistent link: https://www.econbiz.de/10009429599