Kubertin, Oliver; Breitner, Michael H. - Institut für Wirtschaftsinformatik, … - 2003
2001 the first version WARRANT-PRO-2 (0.1) has been presented, see Breitner and Burmester (2002), which optimizes cash settlements for European double-barrier options and warrants. From the viewpoint of financial mathematics, some of the boundary conditions of the partial differential...
