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Showing 1 to 1 of 1 for “"Barrier bending"”.
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Characterizations of and closed-form solutions for plain vanilla and exotic derivatives
… valuation and risk management of deferred start barrier options within the Black and Scholes (1973) framework. We provide closed-form solutions which are functions of the implied volatility smile. Our barrier options are contingent claims on two perfectly correlated assets that diffuse with …