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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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Barrier Options

Barrier Options

Chapter:
(p.254) 18 Barrier Options
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0018

This chapter presents a systematic overview of the pricing theory for financial derivatives, which are, in some sense, connected to the extremal values of the underlying price process. It focuses on barrier options, ladders, and lookbacks, and is limited to the case of one underlying asset. Practice exercises are included.

Keywords:   pricing theory, derivatives, barrier options, contracts, ladders, lookbacks, asset

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