Valuation of barrier options via a general self-duality
Year of publication: |
July 2016
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Authors: | Alòs, Elisa ; Chen, Zhanyu ; Rheinländer, Thorsten |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 3, p. 492-515
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Subject: | put-call symmetry | self-duality | barrier options | stochastic volatility models | Malliavin calculus | Stochastischer Prozess | Stochastic process | Experiment | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
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