Semi-group Expansion for Pricing Barrier Options

Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
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Takashi Kato: Graduate School of Engineering Science, Osaka University
Akihiko Takahashi: Faculty of Economics, The University of Tokyo
Toshihiro Yamada: Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd. (MTEC)

No CARF-F-271, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Pages: 30 pages
Date: 2012-02, Revised 2013-06
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