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Sturm, Stephan
Eliminar la restricciónAdvisor: Sturm, Stephan
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Barrier Option Pricing under SABR Model Using Monte Carlo Methods
Palabra clave:
SABR
,
Black-Scholes
,
Monte Carlo
, and
Barrier Option
Creador:
Hu, Junling
Advisor:
Sturm, Stephan
Editor:
Worcester Polytechnic Institute
Fecha de Creacion:
2013-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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Interactive Qualifying Projects
43
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Masters Theses
4
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Creador
Acevedo, Yan
1
Adragna, Matthew
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Akyildiz, Ozan
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Ali, Irean A.
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Ambrose, Michael John
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Ault, Holly Keyes
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5
Blais, Marcel Y.
7
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Capponi, Agostino
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Chan, Wendell
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Cialenco, Igor
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Griffiths, Sion
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Bangkok, Thailand Project Center - IQP
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Berlin, Germany Project Center - IQP
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Hong Kong, China Project Center - IQP
23
Kyoto, Japan Project Center - IQP
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Worcester Polytechnic Institute
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Interactive Qualifying Project
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20
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4
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3
Report
1
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3
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