Pricing Vulnerable Barrier Option under the First Passage Model
碩士 === 國立交通大學 === 資訊管理研究所 === 98 === Pricing vulnerable options under first passage model can be very difficult – especially when the default boundary depends on the option value. Analytical formula can’t be derived and numerical approaches become unstable due to nonlinearity error. This thesis prov...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2010
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Online Access: | http://ndltd.ncl.edu.tw/handle/87589419572965604640 |