December 2013
Intermediate to advanced
484 pages
14h 54m
English
Content preview from Nonlinear Option Pricing
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List of Figures
2.1 Price of the put option in percent as a function of the time
step. K = 80%. . . . . . . . . . . . . . . . . . . . . . . . . . 42
2.2 Standard deviation of the estimator of the price of the put
option as a function of the time step. K = 80%. . . . . . . . 42
2.3 Log-error on the price of the put option as a function of the
time step. K = 80%. . . . . . . . . . . . . . . . . . . . . . . 43
2.4 Price of the digital call option in percent as a function of the
time step. K = 100%. . . . . . . . . . . . . . . . . . . . . . . 44
2.5 Standard deviation of the price of the digital call option as a
function of the time step. K = 100%. The
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