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Dokumenttyp:
Masterarbeit 
Autor(en):
Mahlstedt, Mirco 
Titel:
Pricing of multivariate derivatives with two barriers 
Abstract:
The volume of trades in exotic options has increased tremendously in the last decade (Götz et al. [2008b]). The payoff structures of these options could depend not only on several underlyings but also on their maximum or minimum (Bouzoubaa and Osseiran [2010]). These exotic path dependent options provide institutional investors with vehicles to meet their diverse financial needs, e.g. hedging, risk management, or speculation (He et al. [1998]). In this thesis, we first present a closed-form solu...    »
 
Betreuer:
Prof. Dr. Marcos Escobar, Prof. Dr. Rudi Zagst 
Gutachter:
Prof. Dr. Marcos Escobar 
Jahr:
2012 
Quartal:
3. Quartal 
Jahr / Monat:
2012-09 
Monat:
Sep 
Sprache:
en 
Hinweise:
Elitestudiengang FIM 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text 
Annahmedatum:
26.09.2012