MITOV, GEORGI K.; RACHEV, SVETLOZAR T.; KIM, YOUNG SHIN; … - In: International Journal of Theoretical and Applied … 12 (2009) 07, pp. 1055-1073
process in a random environment (BPRE). We derive an analytical formula for the price of an up-and-out call option, one form …This paper examines the pricing of barrier options when the price of the underlying asset is modeled by a branching …
