Pricing multi-windowed barrier options using finite element method
In this thesis we study pricing multi-windowed barrier options under three different models: Black-Scholes' model, Heston model, and the multi-dimensional Heston model proposed by De Col, Gnoatto and Grasselli. The PDE approach is employed where the option price is deemed as the solution of a partial differential equation. The PDEs arising in the area of option pricing are most parabolic equations. The interesting questions are a) how to deal with the semi-infinite boundary; b) how to...[Show more]
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