<div class="csl-bib-body">
<div class="csl-entry">Eder, A. (2015). <i>Poisson approximation for structure floors</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2015.25081</div>
</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2015.25081
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/9122
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dc.description.abstract
This thesis is about the approximation of the price for structure floors. The underlying structured note consists of an arbitrary number of double barrier options. For a small number of options, it's numerically shown by a Monte Carlo simulation that they fulfill a special dependency criterium. To approximate the distribution of the structured note's payoff, the Chen-Stein method is used. Using this approximation, bounds for the exact price of a structure floor are given. These results are implemented using the coding language Mathematica. With this implementation, several examples are given to illustrate the results.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Poisson approximation
en
dc.subject
Chen-Stein method
en
dc.subject
structured note
en
dc.subject
structure floor
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dc.subject
coupling
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dc.title
Poisson approximation for structure floors
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dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2015.25081
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Alexander Eder
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik
