Linetsky, Vadim - In: Mathematical Finance 9 (1999) 1, pp. 55-96
Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock‐out and knock‐in provisions and introduce a family of path‐dependent options: " step options". They are parametrized by a "finite knock‐out (knock‐in) rate", ρ. For a...