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Barrier Option Pricing under SABR Model Using Monte Carlo Methods

Keyword:

SABR, Black-Scholes, Monte Carlo, and Barrier Option

Creator:

Hu, Junling

Advisor:

Sturm, Stephan

Publisher:

Worcester Polytechnic Institute

Date Created:

2013-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences