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Analytic solutions for American partial barrier options by exponential barriers
배철한,전두배 강원경기수학회 2017 한국수학논문집 Vol.25 No.2
This paper concerns barrier option of American type where the underlying price is monitored during only part of the option's life. Analytic valuation formulas of the American partial barrier options are obtained by approximation method. This approximation method is based on barrier options along with exponential early exercise policies. This result is an extension of Jun and Ku [10] where the exercise policies are constant.