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Volatility Timing: Pricing Barrier Options on DAX XETRA Index
2020
Mathematics
This paper analyses the impact of different volatility structures on a range of traditional option pricing models for the valuation of call down and out style barrier options. The construction of a Risk-Neutral Probability Term Structure (RNPTS) is one of the main contributions of this research, which changes in parallel with regard to the Volatility Term Structure (VTS) in the main and traditional methods of option pricing. As a complementary study, we propose the valuation of options by
doi:10.3390/math8050722
fatcat:76rzn2mzozffrncul7ab6z3cce