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Fast pricing of barrier options with NIG dynamics

Aukrust, Eivind Grøver
Master thesis
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URI
http://hdl.handle.net/11250/258213
Date
2008
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  • Institutt for matematiske fag [2686]
Abstract
We show how we can price different barrier options very fast and accurately using numerical path integration. We will assume the underlying stock follow a NIG process.
Publisher
Institutt for matematiske fag

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