Probabilistic methods in exotic option pricing
Doctoral Thesis
(2007)
Author(s)
Copyright
© 2007 J.H.M. Anderluh
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Publication Year
2007
Copyright
© 2007 J.H.M. Anderluh
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Abstract
The thesis presents three ways of calculating the Parisian option price as an illustration of probabilistic methods in exotic option pricing. Moreover options on commidities are considered and double-sided barrier options in a compound Poisson framework.