Highly efficient pricing of exotic derivatives under mean-reversion, jumps and stochastic volatility
The pricing of exotic derivatives continues to attract much attention from academics and practitioners alike. Despite the overwhelming interest, the task of finding a robust methodology that could derive closed-form solutions for exotic derivatives remains a difficult challenge. In addition, the lev...
Main Author: | |
---|---|
Other Authors: | |
Format: | Doctoral Thesis |
Language: | English |
Published: |
University of Cape Town
2019
|
Subjects: | |
Online Access: | http://hdl.handle.net/11427/29243 |