Searched for: author%3A%22Maree%2C+S.C.%22
(1 - 2 of 2)
document
Maree, S.C. (author)
This thesis is about pricing Bermudan options with the SWIFT method (Shannon Wavelets Inverse Fourier Technique). We reformulate the SWIFT pricing formula for European options to improve robustness, which allows us to heuristically select - and test the goodness - of all of the parameters a priori. Furthermore, we propose a simplified version of...
master thesis 2015
document
Maree, S.C. (author)
bachelor thesis 2012