dc.contributor.advisor | Næss, Arvid | nb_NO |
dc.contributor.author | Aukrust, Eivind Grøver | nb_NO |
dc.date.accessioned | 2014-12-19T13:57:28Z | |
dc.date.available | 2014-12-19T13:57:28Z | |
dc.date.created | 2010-09-02 | nb_NO |
dc.date.issued | 2008 | nb_NO |
dc.identifier | 346921 | nb_NO |
dc.identifier | ntnudaim:4151 | nb_NO |
dc.identifier.uri | http://hdl.handle.net/11250/258213 | |
dc.description.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. | nb_NO |
dc.language | eng | nb_NO |
dc.publisher | Institutt for matematiske fag | nb_NO |
dc.subject | ntnudaim | no_NO |
dc.subject | SIF3 fysikk og matematikk | no_NO |
dc.subject | Industriell matematikk | no_NO |
dc.title | Fast pricing of barrier options with NIG dynamics | nb_NO |
dc.type | Master thesis | nb_NO |
dc.source.pagenumber | 70 | nb_NO |
dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fag | nb_NO |