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implementation. Numerical results show that they compare very favourably with alternative pricing approaches in terms of accuracy and …
Persistent link: https://www.econbiz.de/10010820456
In this paper, we show how to obtain explicit formulae for a variety of popular path-dependent contracts with complex payoffs involving joint distributions of several extrema. More specifically, we give formulae for standard step-up and step-down barrier options, as well as partial and outside...
Persistent link: https://www.econbiz.de/10010820910