Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach
A barrier option is an exotic path-dependent option contract where the right to buy or sell is activated or extinguished when the underlying asset reaches a certain barrier price during the lifetime of the contract. In this article we use a Mellin transform approach to derive exact pricing formulas...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-08-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/8/8/1271 |