Using the method of path counting, Sidenius (1998) showed that g + (x, T ) defined in
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Using the method of path counting, Sidenius (1998) showed that g+(x, T ) defined in (4.1.44b) has the following analytic solution
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Find the closed form price formula of the European upper-barrier knock-in call option ciU [see Sect. 4.1.3 and Luo (2001)].
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