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Combinatorial Methods for Double-Barrier Option Pricing

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GARCH AND STOCHASTIC VOLATILITY OPTION PRICING

Simonato, 1999, “An Analytical Approximation for the GARCH Option Pricing Model,” Journal of Computational Finance 2, 75- 116.

國立臺灣大學電機資訊學院資訊工程學系 碩士論文

Keywords: Parisian options, barrier options, option pricing, algorithm, binomial tree model, combinatorial method, Monte Carol simulation, inverse Gaussian distribution,

Finite Difference Fails for Numerical Gamma

• A knock-in option comes into existence if a certain barrier is reached.. • A down-and-in option is a call knock-in option that comes into existence only when the barrier is