Valuation of Barrier Options under Risks
The research offers algorithms to price European and American equity derivatives with barrier features in a market model with correlated equity and interest rate risks.
Featured in No. 12 on 17 Aug 2023 · 1 day after release
- Released
- 16 Aug 2023
- First featured
- No. 12 · 17 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- 2
- Identifier
- SSRN 4542370
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