This is a systematic classification and treatment of essentially all exotic options currently trading at the Over-the-Counter (OTC) market. It aims to be an industry standard book on this subject. It contains exact closed-form pricing formulae and approximated closed-form pricing formulae for all po
β¦ LIBER β¦
An introduction to exotic options
β Scribed by Peter G. Zhang
- Book ID
- 111059030
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 686 KB
- Volume
- 1
- Category
- Article
- ISSN
- 1354-7798
No coin nor oath required. For personal study only.
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## Abstract The authors suggest a modified quadratic approximation scheme, and apply this scheme to American barrier (knockβout) and floatingβstrike lookback options. This modified scheme introduces an additional parameter into the quadratic approximation method, originally suggested by G. BaroneβA