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Document type:
Masterarbeit 
Author(s):
Mahlstedt, Mirco 
Title:
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...    »
 
Advisor:
Prof. Dr. Marcos Escobar, Prof. Dr. Rudi Zagst 
Referee:
Prof. Dr. Marcos Escobar 
Date of acceptation:
26.09.2012 
Year:
2012 
Quarter:
3. Quartal 
Year / month:
2012-09 
Month:
Sep 
Language:
en 
Notes:
Elitestudiengang FIM 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Format:
Text