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Fakultet for informasjonsteknologi og elektroteknikk (IE)
Institutt for matematiske fag
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Fakultet for informasjonsteknologi og elektroteknikk (IE)
Institutt for matematiske fag
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Fast pricing of barrier options with NIG dynamics
Aukrust, Eivind Grøver
Master thesis
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346921_FULLTEXT01.pdf (Locked)
346921_COVER01.pdf (Locked)
URI
http://hdl.handle.net/11250/258213
Date
2008
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Institutt for matematiske fag
[2341]
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.
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Institutt for matematiske fag
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