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Pricing Double Barrier Options: An Analytical Approach

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Antoon Pelsser (Erasmus University Rotterdam)

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 1997 with number 130.

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Handle: RePEc:sce:scecf7:130

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Postal: CEF97, Stanford University, Department of Economics, Stanford CA USA
Web page: http://bucky.stanford.edu/cef97/
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  1. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
  2. Goldman, M Barry & Sosin, Howard B & Gatto, Mary Ann, 1979. "Path Dependent Options: "Buy at the Low, Sell at the High"," Journal of Finance, American Finance Association, vol. 34(5), pages 1111-27, December. [Downloadable!] (restricted)
  3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
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  1. Sbuelz, A., 2000. "Hedging double barriers with singles," Discussion Paper 112, Tilburg University, Center for Economic Research. [Downloadable!]
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