Numerical methods applied to derivative pricing in the Piterbarg framework

Thesis

Open access

Alexis Jacques Levendis

MCom, University of Johannesburg

2020

Handle:

https://hdl.handle.net/10210/451530

Abstract

Global Financial Crisis, 2008-2009

Derivative securities

Options (Finance) - Prices - Mathematical models

Please refer to full text to view abstract. M.Com. (Quantitative Finance)

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Title: Numerical methods applied to derivative pricing in the Piterbarg framework
Creators - without role: Alexis Jacques Levendis
Contributors - without role: Pierre Venter
Niël Oberholzer
Awarding Institution: University of Johannesburg; MCom
Theses and Dissertations: MCom, University of Johannesburg
Identifiers: 9913630807691
Copyright: University of Johannesburg
Academic Unit: Department of Finance and Investment
Resource Type: Thesis