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Sturm, Stephan
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Barrier Option Pricing under SABR Model Using Monte Carlo Methods
Keyword:
SABR
,
Black-Scholes
,
Monte Carlo
, and
Barrier Option
Creator:
Hu, Junling
Advisor:
Sturm, Stephan
Publisher:
Worcester Polytechnic Institute
Date Created:
2013-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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2013
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Creator
Hu, Junling
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Advisor
Sturm, Stephan
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Sturm, Stephan
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Mathematical Sciences
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Worcester Polytechnic Institute
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Report
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