Option pricing via Laplace transforms
This thesis is a collection of essays focused on the pricing of plain-vanilla and path-dependent options using Laplace transforms. In the first essay we derive Laplace transforms to value discretely monitored barrier and lookback options under a wide variety of stochastic, models. We show that these...
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| Main Author: | |
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| Format: | Dissertation |
| Language: | English |
| Published: |
ProQuest Dissertations & Theses
01.01.2003
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| Subjects: | |
| ISBN: | 9780496432295, 049643229X |
| Online Access: | Get full text |
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