Print Email Facebook Twitter Probabilistic methods in exotic option pricing Title Probabilistic methods in exotic option pricing Author Anderluh, J.H.M. Contributor Dekking, F.M. (promotor) Faculty Electrical Engineering, Mathematics and Computer Science Date 2007-05-21 Abstract The thesis presents three ways of calculating the Parisian option price as an illustration of probabilistic methods in exotic option pricing. Moreover options on commidities are considered and double-sided barrier options in a compound Poisson framework. Subject parisian optionbrownian motionfourier inversionexcursion theorypotential model To reference this document use: http://resolver.tudelft.nl/uuid:8bcb00b5-831f-4a63-b1eb-0c3f88e527d5 ISBN 978-90-8891-002-9 Part of collection Institutional Repository Document type doctoral thesis Rights (c) 2007 J.H.M. Anderluh Files PDF its_anderluh_20070521.pdf 1.63 MB Close viewer /islandora/object/uuid:8bcb00b5-831f-4a63-b1eb-0c3f88e527d5/datastream/OBJ/view