On the Least-Square Monte Carlo (LSM) for Pricing American Barrier options
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === Barrier options are options that are either extinguished (“out”) or established (“in”), when the price of the underlying asset crosses a particular level (“barrier”). Common examples are “down-and-out,” “down-and-in,” “up-and-out” and “up-and-in” options, which...
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/65503631236739878849 |