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Pricing discretely monitored barrier options under exponential-Levy processes
One of the main factors in pricing barrier options is deciding whether to monitor the underlying asset price in continuous time or for a fixed set of time points. Most actively traded barrier options are monitored in discrete time due to reasons such as regulation and practical implementation. This...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2020
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