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American option valuation using first-passage densities

✍ Scribed by Gutiérrez, Óscar


Book ID
121265337
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
211 KB
Volume
13
Category
Article
ISSN
1469-7688

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The valuation of American barrier option
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In this paper, we propose an alternative approach for pricing and hedging American barrier options. Speci"cally, we obtain an analytic representation for the value and hedge parameters of barrier options, using the decomposition technique of separating the European option value from the early exerci