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Sturm, Stephan
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Barrier Option
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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
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Year
2013
1
Creator
Hu, Junling
1
Advisor
Sturm, Stephan
1
Contributor
Sturm, Stephan
[remove]
1
Unit (Department)
Mathematical Sciences
1
Publisher
Worcester Polytechnic Institute
1
Resource type
Report
1
