Asymptotic expansion for the price of a UIP barrier option in a binomial tree model

It has been shown that the famous continuous model in pricing option contracts, the Black-Scholes model, is the limit of discrete option pricing models. However, it is not realistic to define the time steps of the discrete model to be infinite since it would imply the infinite monitoring of the ass...

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Bibliographic Details
Main Author: LLemit, Dennis G. (Author)
Other Authors: Escaner, Jose Maria L. (adviser.)
Format: Thesis
Language:English
Published: Quezon City Institute of Mathematics, College of Science, University of the Philippines Diliman 2010.
Subjects: