Pricing Multi-asset Barrier Options

Rosalino, E; Baczynski, J; Leao, D

Rosalino, E (reprint author), Natl Lab Sci Comp LNCC, Computat & Math Methods Dept, BR-25651075 Petropolis, RJ, Brazil.

2017 IEEE 56TH ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), 2017; ( ):

Abstract

We obtain closed-form expressions for the exact no-arbitrage prices, as well as estimates, of some types of multivariate barrier options. A novelty fo......

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