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| **Description:**\\ | **Description:**\\ | ||
| - | + | Barrier options will be studied, as well as hitting times of the geometric Brownian motion. The study will focus on European single barrier options, in particular the pricing and the hedging of continuous barrier options and discrete barrier options. Approximation methods for discrete barriers will be studied. The performance of the methods will be evaluated on both simulated and real data.\\ | |
| - | Barrier options will be studied, as well as hitting times of the geometric Brownian motion. The study will focus on European single barrier options, in particular the pricing and the hedging of continuous barrier options and discrete barrier options. Approximation methods for discrete barriers will be studied. The performance of the methods will be evaluated both for simulated and real data.\\ | + | |
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| **References:**\\ | **References:**\\ | ||
| - | [1] P. Carr, A. Chou, Breaking Barriers, Risk magazine 10, 139-144, 1997.\\ | + | [1] J. C. Hull, Options, Futures, and other Derivative Securities, 4th edition. Prentice Hall, New Jersey.\\ |
| - | [2] J. C. Hull, Options, Futures, and other Derivative Securities, 4th edition. Prentice Hall, New Jersey.\\ | + | [2] P. Carr, A. Chou, Breaking Barriers, Risk magazine 10, 139-144, 1997.\\ |
| - | [3] S. Kou, On Pricing od Discrete Barrier Options, Statistica Sinica 13, Columbia University, NY, 2003.\\ | + | [3] S. Kou, On Pricing of Discrete Barrier Options, Statistica Sinica 13, Columbia University, NY, 2003.\\ |
| [4] P. Hörfelt, Extension of the Corrected Barrier Approximation by Broadie, Glasserman and Kou, Finance and Stochastics 7, 231-243, 2003.\\ | [4] P. Hörfelt, Extension of the Corrected Barrier Approximation by Broadie, Glasserman and Kou, Finance and Stochastics 7, 231-243, 2003.\\ | ||