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- W2218290098 abstract "This paper considers a single barrier option under a local volatility model and shows that any down-and-in option can be priced by a combination of three standard European options whose volatility functions are connected through symmetrization. The symmetrized volatility function is approximated by a sequence of smooth functions that converges to the original one. An approximation formula is developed to price the standard European options with the approximated volatility functions. Finally, we apply the Aitken convergence accelerator to obtain an approximate price of the down-and-in option. Other single barrier options are priced in a similar fashion." @default.
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- W2218290098 date "2015-11-10" @default.
- W2218290098 modified "2023-09-26" @default.
- W2218290098 title "Analytical pricing of single barrier options under local volatility models" @default.
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- W2218290098 doi "https://doi.org/10.1080/14697688.2015.1101483" @default.
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