Closed-form solutions for options with random initiation under asset price monitoring
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DOI: 10.1016/j.frl.2016.09.009
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More about this item
Keywords
Option pricing; Random initiation; Barrier; Asset monitoring;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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