FAST SIMULATION OF JUMP-DIFFUSION PROCESSES AND BARRIER OPTIONS
Bachelor's
Saved in:
Main Author: | CHEN ZENGHUI |
---|---|
Other Authors: | MATHEMATICS |
Format: | Theses and Dissertations |
Published: |
2021
|
Online Access: | https://scholarbank.nus.edu.sg/handle/10635/202947 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | National University of Singapore |
Similar Items
-
DISCRETE BARRIER OPTION PRICING IN JUMP-DIFFUSION MODEL
by: CHEN YANHUAN
Published: (2021) -
USING BROWNIAN BRIDGE FOR MONTE CARLO SIMULATION OF BARRIER OPTIONS UNDER JUMP DIFFUSION PROCESSES
by: LI YUE
Published: (2021) -
Jump Diffusion model for barrier option pricing with stochastic volatility
by: ALIMANSYAH (NIM: 20915004), ARFIAN -
APPLICATION OF THE IMPROVED FAST GAUSS TRANSFORM TO OPTION PRICING UNDER JUMP DIFFUSION PROCESSES
by: LI LUOYING
Published: (2021) -
AMERICAN CALL OPTIONS UNDER JUMP DIFFUSION PROCESS
by: LIU XIRUI
Published: (2021)