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Pricing Discrete European Barrier Options Using Lattice Random Walks
, 2002
"... This paper designs a numerical procedure to price discrete European barrier options in BlackScholes model. The pricing problem is divided in a series of initial value problems, one for each monitoring time. Each initial value problem is solved by replacing the driving Brownian motion by a latti ..."
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This paper designs a numerical procedure to price discrete European barrier options in BlackScholes model. The pricing problem is divided in a series of initial value problems, one for each monitoring time. Each initial value problem is solved by replacing the driving Brownian motion by a lattice random walk. Some results
Advanced Monte Carlo methods for barrier
, 2008
"... HAL is a multidisciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte p ..."
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HAL is a multidisciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et a ̀ la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés.
le grade de: Docteur de l ’ École Polytechnique
, 2010
"... Risque de crédit: modélisation et simulation numérique Thèse présentée le 11 décembre 2006 devant la commission d’examen: ..."
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Risque de crédit: modélisation et simulation numérique Thèse présentée le 11 décembre 2006 devant la commission d’examen: