Model-free valuation of barrier options
Austing and Li provide a continuous barrier options pricing formula that fits the volatility smile
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Peter Austing and Yuan Li provide an analytic formula for valuing continuous barrier options. The model exactly fits the implied volatility smile in a manifestly arbitrage-free way and produces prices consistent with an underlying stochastic volatility dynamic
The standard approach to valuing continuous barrier options, developed in the literature by Jex (1999) and
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