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THE STOCHASTIC CONTROL PROBLEMS ARISING IN PRICING BARRIER OPTIONS.

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Academic year: 2017

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Figure 1 illustrates a comparison between the extreme prices that are obtained by pricingwith a constant volatility, and those obtained from the the stochastic control problem
Figure 1: The dotted lines represent the superprice and subprice of the barrier option computed by (19)-(21)and the solid lines represent the extreme value of the option computed by the linear equation (12)-(14).

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THE STOCHASTIC CONTROL PROBLEMS ARISING IN PRICING BARRIER OPTIONS.

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