PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS
نویسندگان
چکیده
منابع مشابه
Pricing External-chained Barrier Options with Exponential Barriers
Abstract. External barrier options are two-asset options with stochastic variables where the payoff depends on one underlying asset and the barrier depends on another state variable. The barrier state variable determines whether the option is knocked in or out when the value of the variable is above or below some prescribed barrier level. This paper derives the explicit analytic solution of the...
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An external barrier of an option contract is a stochastic variable which determines whether the option is knocked in or out when the value of the variable is above or below some predetermined level, but itself is not the price of an asset which underlies the option. In this paper, we present analytic formulation for the valuation of European options on one or multiple assets with single externa...
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ژورنال
عنوان ژورنال: Bulletin of the Korean Mathematical Society
سال: 2016
ISSN: 1015-8634
DOI: 10.4134/bkms.b150789