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


Numerical Pricing of Finite Expiry Russian Options

Masterarbeit Wirtschaftsmathematik

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



In this thesis we want to investigate the two methods of Duistermaat et al. and Kimura to price numerically Russian option with finite time horizon.


Russian options, path-dependent contingent claims, exotic options, optimal stopping problem, free boundary problem, Laplace-Carson transformation


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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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