Barrier Option Pricing Using Adjusted Transition Probabilities
Barrier Option Pricing Using Adjusted Transition Probabilities
Barrier Option Pricing Using Adjusted Transition Probabilities
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MotivationNew ApproachResults<strong>Adjusted</strong> Binomial (and Trinomial) TreeExtensionBermudan <strong>Option</strong>Knock-out pathsSafe pathsThese are the paths that mustbe considered in order to applythe transition probabilityadjustment method.safe pathsknock-out pathsDate t discretKnock-out <strong>Barrier</strong>G. Barone-Adesi, N. Fusari, J. Theal <strong>Barrier</strong> <strong>Option</strong> <strong>Pricing</strong> <strong>Using</strong> <strong>Adjusted</strong> <strong>Transition</strong> <strong>Probabilities</strong>
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