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Filtrado por: Creador Hu, Junling

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