Pricing exotic options using improved strong convergence
Today, better numerical approximations are required for multi-dimensional SDEs to improve on the poor performance of the standard Monte Carlo integration. With this aim in mind, the material in the thesis is divided into two main categories, stochastic calculus and mathematical finance. In the forme...
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| Muut tekijät: | |
| Aineistotyyppi: | Opinnäyte |
| Kieli: | English |
| Julkaistu: |
2008
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| Aiheet: |