Barrier Option Pricing and CPPI-Optimization

Beschreibung

The first part of this thesis contains a systematic examination of the pricing of one- and two-dimensional barrier options in the Black-Scholes model with respect to the use of control variates. In the second part the CPPI portfolio insurance strategy is investigated. Here a portfolio problem is formulated and solved using the Black-Scholes model supplemented by a stochastic interest rate following the Vasicek model. Moreover a similar portfolio problem is solved for the Heston model.

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Roman Horsky

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