Application of Implicit Finite Difference for Pricing Barrier Options
碩士 === 義守大學 === 財務金融學系 === 92 === Boyle and Lau discovered in 1994 that while evaluating continuous-time barriers option, the binomial tree model will produce big sharp evaluation errors and converge at low speed. In 1995, Ritchken proposed the method of pricing barrier option by using lattice. La...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/01535980938373998873 |