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- W297133701 abstract "The main objective of this thesis is to examine dynamic hedging performance on barrier options under the square root process (CEV). Empirical evidence has shown that the CEV process may be a better description of stock behaviour than the commonly used lognormal model. The numerical results obtained from the simulation are compared with the corresponding model prices under the Black-Scholes model. The Monte Carlo simulation is based on the conditioning on one-step survival for barrier options by Glasserman and Staum (2001)." @default.
- W297133701 created "2016-06-24" @default.
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- W297133701 date "2003-01-01" @default.
- W297133701 modified "2023-09-23" @default.
- W297133701 title "Pricing and Hedging Barrier Options for Alternative Stochastic Processes" @default.
- W297133701 hasPublicationYear "2003" @default.
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