Exercise 17.1.19 Consider a generalized double-barrier option with the two barriers defined by functions f and fh,
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Exercise 17.1.19 Consider a generalized double-barrier option with the two barriers defined by functions f and fh, where f(t) < fh(t) for t ≥ 0. Transform it into a double-barrier option with constant barriers by changing the underlying price process.
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Related Book For
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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