PRICING CHAINED OPTIONS WITH CURVED BARRIERS
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Publication:2851563
DOI10.1111/J.1467-9965.2011.00513.XzbMath1275.91133OpenAlexW2157724322MaRDI QIDQ2851563
Publication date: 11 October 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00513.x
Related Items (2)
Analytic solution for American barrier options with two barriers ⋮ DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
Cites Work
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- Boundary crossing probability for Brownian motion
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Pricing Options With Curved Boundaries1
- Approximations of boundary crossing probabilities for a Brownian motion
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