Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models

  title={Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models},
  author={Peter Carr and Andrey Itkin and Dmitry Muravey},
The authors continue a series of articles where prices of the barrier options written on the underlying, whose dynamics follow a one-factor stochastic model with time-dependent coefficients and the barrier, are obtained in semi-closed form; see Carr and Itkin (2020) and Itkin and Muravey (2020). This article extends this methodology to the Cox–Ingersoll–Ross model for zero-coupon bonds and to the constant elasticity of variance model for stocks, which are used as the corresponding underlying… Expand

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