Hsu, Pao-Peng; Chen, Ying-Hsiu - In: Finance Research Letters 9 (2012) 3, pp. 176-181
In this paper, we present closed-forms for the valuation of the barrier option whose underlying is exchange rate under the multi-dimensional Levy process, including stochastic interest rates and stochastic assets. Instantaneous forward interest rates are assumed under the Heath et al. [1992....