A closer look at barrier exchange option
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Christine A. Brown; John C. Handley; Ken Palmer
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Article
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2011
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John Wiley and Sons
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English
⚖ 116 KB
A barrier exchange option is an exchange option that is knocked out the first time the prices of two underlying assets become equal. Lindset, S., & Persson, S.‐A. (2006) present a simple dynamic replication argument to show that, in the absence of arbitrage, the current value of the barrier exchange