Essays on derivatives pricing
This thesis consists of three separate articles. In the first article we extend a fast algorithm to price European options on underlying assets which pay discrete dividends to the two-dimensional case. Firstly, by using convexity, we formulate upper and lower bounds for the price of a classical (uni...
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| Formato: | doctoralThesis |
| Idioma: | eng |
| Publicado em: |
2019
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10362/69907 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/69907 |