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Efficient numerical methods for the valuation of American barrier options
[Thesis has an accompanying disc.] The barrier option is the most popular exotic option traded today. Because such options have a discontinuous payoff pattern, their accurate valuation is a particular challenge. Most popular in the OTC market, a lack of a liquid secondary market in these products ha...
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| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2024
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