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FPL
2010
Springer
13 years 3 months ago
2010
Springer
Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensi...
Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
SIAMSC
2008
13 years 5 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...