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Discrete Window Barrier Option


A window barrier option whose barrier level can be set and allowed to change deterministically, while the monitoring/ observation points can be set at equal or unequal distance to each other over the lifespan of the option.

The performance of the option, relativity of its underlying and barrier level, will be observed at the discrete points all along its term, in order to determine its payoff.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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