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Connecting discrete and continuous path-dependent options

✍ Scribed by Mark Broadie; Paul Glasserman; S.G. Kou


Book ID
106235866
Publisher
Springer-Verlag
Year
1999
Tongue
English
Weight
236 KB
Volume
3
Category
Article
ISSN
0949-2984

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Path-dependent currency options with mea
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## Abstract This paper develops a path‐dependent currency option pricing framework in which the exchange rate follows a mean‐reverting lognormal process. Analytical solutions are derived for barrier options with a constant barrier, lookback options, and turbo warrants. As the analytical solutions a