Browsing Electronic Theses and Dissertations (ETDs) by Subject "Barrier options"
Now showing items 1-3 of 3
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On the calibration of Lévy option pricing models
(2015)In this thesis we consider the calibration of models based on Lévy processes to option prices observed in some market. This means that we choose the parameters of the option pricing models such that the prices calculated ... -
Pricing barrier and lookback options using finite difference numerical methods
(North-West University (South Africa) , Potchefstroom Campus, 2017)This research work focuses on the estimation of barrier and lookback option prices using finite difference numerical methods. Here, we aim at approximating the fair prices of the zero rebate up-and-out and down-and-out ... -
Pricing barrier options with numerical methods
(North-West University, 2013)Barrier options are becoming more popular, mainly due to the reduced cost to hold a barrier option when compared to holding a standard call/put options, but exotic options are difficult to price since the payoff functions ...