𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A note on currency option pricing

✍ Scribed by Nawalkha, Sanjay K.; Chambers, Donald R.


Book ID
122622122
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
256 KB
Volume
4
Category
Article
ISSN
1057-5219

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## Abstract This article develops a barrier option pricing model in which the exchange rate follows a mean‐reverting lognormal process. The corresponding closed‐form solutions for the barrier options with time‐dependent barriers are derived. The numerical results show that barrier option values and