Local time and the pricing of time-dependent barrier options
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References listed on IDEAS
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- Alexander Cox & Jan Obłój, 2011. "Robust pricing and hedging of double no-touch options," Finance and Stochastics, Springer, vol. 15(3), pages 573-605, September.
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More about this item
KeywordsTime-dependent single- and double-barrier options; Local time on curves; Volterra integral equation of the first kind; Delta at the barrier; 60H30; 45D05; G13; C60;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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