Now showing items 1-4 of 4

    • A Crank-Nicolson finite difference approach on the numerical estimation of rebate barrier option prices 

      Umeorah, Nneka; Mashele, Phillip (Taylor & Francis, 2019)
      In modelling financial derivatives, the pricing of barrier options are complicated as a result of their path-dependency and discontinuous payoffs. In the case of rebate knock-out barrier options, discount factors known ...
    • On the calibration of Lévy option pricing models 

      Visagie, Izak Jacobus Henning (2015)
      In this thesis we consider the calibration of models based on Lévy processes to option prices observed in some market. This means that we choose the parameters of the option pricing models such that the prices calculated ...
    • Pricing barrier and lookback options using finite difference numerical methods 

      Umeorah, Nneka Ozioma (North-West University (South Africa) , Potchefstroom Campus, 2017)
      This research work focuses on the estimation of barrier and lookback option prices using finite difference numerical methods. Here, we aim at approximating the fair prices of the zero rebate up-and-out and down-and-out ...
    • Pricing barrier options with numerical methods 

      De Ponte, Candice Natasha (North-West University, 2013)
      Barrier options are becoming more popular, mainly due to the reduced cost to hold a barrier option when compared to holding a standard call/put options, but exotic options are difficult to price since the payoff functions ...