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Pricing a Bermudan option under the constant elasticity of variance model
This dissertation investigates the computational efficiency and accuracy of three methodologies in the pricing of a Bermudan option, under the constant elasticity of variance (CEV) model. The pricing methods considered are the finite difference method, least squares Monte Carlo method and recursive...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2018
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