Bergische Universität Wuppertal
Fachbereich Mathematik und Naturwissenschaften
Angewandte Mathematik - Numerische Analysis


Numerical Pricing of Generalized Passport Options

Masterarbeit Wirtschaftsmathematik

Master's Thesis in Financial Mathematics, Halmstad University, Sweden



Since generalized passport options do not possess closed-form solutions there is the urgent need to apply numerical solution methods. Here we apply finite difference methods to compute the hedge parameters for special passport options with caps and/or barriers.



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University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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