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PRICING EXOTIC OPTIONS
Published online by Cambridge University Press: 01 July 2000
Abstract
We show that if the payoff of a European option is a convex function of the prices of the security at a fixed set of times, then the geometric Brownian motion risk neutral option price is increasing in the volatility of the security. We also give efficient simulation procedures for determining the no-arbitrage prices of European barrier, Asian, and lookback options.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 14 , Issue 3 , July 2000 , pp. 317 - 326
- Copyright
- © 2000 Cambridge University Press
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