Pricing down-and-out power options with exponentially curved barrier

Power barrier options are options where the payoff depends on an underlying asset raised to a constant number. The barrier determines whether the option is knocked in or knocked out of existence when the underlying asset hits the prescribed barrier level, or not. This paper derives the analytical so...

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書目詳細資料
Main Authors: Ng, Teck Wee, Ibrahim, Siti Nur Iqmal
格式: Article
語言:English
出版: American Institute of Mathematical Sciences (AIMS) 2018
在線閱讀:http://psasir.upm.edu.my/id/eprint/73638/1/Pricing%20down-and-out%20power%20options%20with%20exponentially%20curved%20barrier.pdf
http://psasir.upm.edu.my/id/eprint/73638/
https://www.aimsciences.org/article/doi/10.3934/naco.2018018
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