Esquível, Manuel L.; Veiga, Carlos; Wystup, Uwe - Frankfurt School of Finance and Management - 2010
setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to … most, if not all, mountain range exotic options and is developed in a multi-asset, multi-currency Black-Scholes model with … features from different types of exotic options. It also creates implicitly a language to describe payoffs that can be used in …