Zhanyu Chen

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

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Scholarly Papers (1)

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Valuation of Barrier Options via a General Self‐Duality

Mathematical Finance, Vol. 26, Issue 3, pp. 492-515, 2016
Number of pages: 24 Posted: 10 Jun 2016
University of Pompeu Fabra - Department of Economics, London School of Economics & Political Science (LSE) and Vienna University of Technology
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Abstract:

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put–call symmetry, self‐duality, barrier options, stochastic volatility models, Malliavin calculus