Pricing barrier options when the dynamics of the prices are driven by the Mean Reverting Process

Pricing barrier options when the dynamics of the prices are driven by the Mean Reverting Process

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A dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science (Mathematical Modelling) of the University of Dar es Salaam

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Detalles Bibliográficos
Autor principal: Komunte, Masoud
Formato: Tesis
Lenguaje:inglés
Publicado: University of Dar es Salaam 2024
Materias:
financial options
market price
Black-Scholes PDE model
Homotopy Analysis Method
pricing
Laplace Transform
Acceso en línea:https://scholar.mzumbe.ac.tz/handle/123456789/515
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