Asymptotic expansion for the price of a UIP barrier option in a binomial tree model
It has been shown that the famous continuous model in pricing option contracts, the Black-Scholes model, is the limit of discrete option pricing models. However, it is not realistic to define the time steps of the discrete model to be infinite since it would imply the infinite monitoring of the ass...
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| Médium: | Diplomová práce |
| Jazyk: | English |
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Quezon City
Institute of Mathematics, College of Science, University of the Philippines Diliman
2010.
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