𝔖 Bobbio Scriptorium
✦   LIBER   ✦

PRICING CHAINED OPTIONS WITH CURVED BARRIERS

✍ Scribed by Doobae Jun; Hyejin Ku


Book ID
111043259
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
558 KB
Volume
23
Category
Article
ISSN
0960-1627

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Pricing Options With Curved Boundaries
✍ Naoto Kunitomo; Masayuki Ikeda πŸ“‚ Article πŸ“… 1992 πŸ› John Wiley and Sons 🌐 English βš– 959 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