Esquível, Manuel L.; Veiga, Carlos; Wystup, Uwe - 2010
most, if not all, mountain range exotic options and is developed in a multi-asset, multi-currency Black-Scholes model with … features from different types of exotic options. It also creates implicitly a language to describe payoffs that can be used in … industrial applications to decouple the functions of payoff definition from pricing functions. Examples of several exotic options …