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Contribution Details
Type | Book Chapter |
Scope | Discipline-based scholarship |
Title | Some combinations of Asian, Parisian, and barrier options |
Organization Unit | |
Authors |
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Editors |
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Item Subtype | Original Work |
Refereed | Yes |
Status | Published in final form |
Language |
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Booktitle | Mathematics of Derivatives Securities |
ISBN | 9780521584241 |
Place of Publication | Cambridge |
Publisher | Cambridge University Press |
Page Range | 61 - 87 |
Date | 1997 |
Abstract Text | This article addresses some of the valuation problems, in the Black and Scholes setting of a geometric Brownian motion for the underlying asset dynamics, for options whose pay-off is related to the terminal price of the stock and an arithmetic average of fixing and/or involves stopping times related to excursions. In all cases, we are able to provide at least the Laplace transform in time of the option price under a form whose complexity varies with the number of exotic features. We emphasize that we do not give closed form formulas for the general case, but we aim to develop a methodology which may be used in many cases. |
Official URL | https://www.cambridge.org/ch/universitypress/subjects/mathematics/mathematical-finance/mathematics-derivative-securities |
Other Identification Number | merlin-id:13238 |
PDF File | Download from ZORA |
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