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We consider in this article the arbitrage free pricing of double knock-out barrier options with payoffs that are arbitrary functions of the underlying asset, where we allow exponentially time-varying barrier levels in an otherwise standard Black-Scholes model. Our approach, reminiscent of the...
for the flexibility inherent in many investment projects. This has been recognized and the attempt to value the such flexibilities is known as Real Options Analysis. This type of investment analysis involves applications of exotic option pricing theory to the evaluation of investment decisions...