Pricing Discrete Double-Barrier Options with the Quadrature Method
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === This thesis develops a fast and accurate quadrature method for pricing discrete double-barrier options. In this method, discrete barrier options are valued with only one time step between observations, resulting in significant improvement in speed. Accuracy is g...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45220691929647205596 |