Umeorah, Nneka; Mashele, Phillip - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-15
In modelling financial derivatives, the pricing of barrier options are complicated as a result of their path-dependency and discontinuous payoffs. In the case of rebate knock-out barrier options, discount factors known as rebates are introduced, which are payable to the option holder when the...