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Semi-group Expansion for Pricing Barrier Options


  • Takashi Kato

    (Graduate School of Engineering Science, Osaka University)

  • Akihiko Takahashi

    (Faculty of Economics, The University of Tokyo)

  • Toshihiro Yamada

    (Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. (MTEC))


No abstract is available for this item.

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  • Takashi Kato & Akihiko Takahashi & Toshihiro Yamada, 2012. "Semi-group Expansion for Pricing Barrier Options," CARF F-Series CARF-F-271, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jun 2013.
  • Handle: RePEc:cfi:fseres:cf271

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    References listed on IDEAS

    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    2. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "Pricing Discrete Barrier Options under Stochastic Volatility," CARF F-Series CARF-F-210, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2011.
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