Consider a discretely monitored down-and-out call option with strike price X and barrier level B i at
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Consider a discretely monitored down-and-out call option with strike price X and barrier level Bi at discrete time ti,i = 1, 2, ··· ,n. Show that the price of this European barrier call option is given by (Heynen and Kat, 1996)
where
Transcribed Image Text:
Cdo (So, T; X, B₁, B2, ..., Bn) = So Nn+1(d, d, ..., d+¹; I) - e-Ti -rT N₂+1(d₂, d², ..., d₂+¹; I),
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