Lattice-Regeln zur Bewertung pfadabhängiger ... - G-CSC Home

• Barrier Option :S 0 = 100, K = 90, B = 90, T = 1/12, σ = 0.2, r = 0, 05N 101 1009 10007 100003 1000003 Konvr.D=16 RW 6,29665E-02 2,58688E-02 3,53246E-02 3,71597E-02 3,63320E-02 -0,0321BB 9,29087E-02 3,81766E-02 2,21456E-02 2,26117E-02 2,19558E-02 -0,1482D=64 RW 3,82981E-01 4,74693E-02 2,42754E-02 1,86403E-02 2,15265E-02 -0,2910BB 1,10325E-01 7,71995E-03 1,39165E-02 1,77133E-02 1,79137E-02 -0,122037