Local time and the pricing of time-dependent barrier options
نویسندگان
چکیده
منابع مشابه
Local time and the pricing of time-dependent barrier options
A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b± : [0, T ]→R+ have been hit during the time interval [0, T ]. Using a probabilistic approach, we obtain a decomposition of the barrier option price into the corresponding European option price minus the barrier premium for a w...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2008
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-008-0077-5