𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Cross currency option pricing

✍ Scribed by Lloyd P. Blenman; O.Felix Ayadi


Book ID
117701216
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
508 KB
Volume
8
Category
Article
ISSN
1044-0283

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Pricing cross-currency options
✍ John Rumsey πŸ“‚ Article πŸ“… 1991 πŸ› John Wiley and Sons 🌐 English βš– 353 KB
Currency barrier option pricing with mea
✍ C. H. Hui; C. F. Lo πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 217 KB

## 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