## Abstract This article develops a barrier option pricing model in which the exchange rate follows a meanβreverting lognormal process. The corresponding closedβform solutions for the barrier options with timeβdependent barriers are derived. The numerical results show that barrier option values and
Barrier option pricing: modelling with neural nets
β Scribed by L. Xu; M. Dixon; B.A. Eales; F.F. Cai; B.J. Read; J.V. Healy
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 459 KB
- Volume
- 344
- Category
- Article
- ISSN
- 0378-4371
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