Lie group analysis of exotic options.
Exotic options are derivatives which have features that makes them more complex than vanilla traded products. Thus, finding their fair value is not always an easy task. We look at a particular example of the exotic options - the power option - whose payoffs are nonlinear functions of the underlying...
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| Language: | en_ZA |
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2014
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| Online Access: | http://hdl.handle.net/10413/10937 |