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Persistent link: https://www.econbiz.de/10003928804
This paper examines the pricing of barrier options when the price of the underlying asset is modeled by a branching process in a random environment (BPRE). We derive an analytical formula for the price of an up-and-out call option, one form of a barrier option. Calibration of the model...
Persistent link: https://www.econbiz.de/10013150067