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Abstract Using the solution of one-sided exit problem, a procedure to price Parisian barrier options in a jump-diffusion model with two-sided exponential jumps is developed. By extending the method developed in Chesney, Jeanblanc-Picqué and Yor (1997; Brownian excursions and Parisian barrier...
Abstract In this article, we examine the problem of evaluating the option price of a European call option written on N underlying assets when there are proportional transaction costs in the market. Since the portfolio under consideration consists of multiple risky assets, which makes numerical...
Abstract We compare two methods for superreplication of options with convex pay-off functions. One method entails the overestimation of an unknown covariance matrix in the sense of quadratic forms. With this method the value of the superreplicating portfolio is given as the solution of a linear...
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