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Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Fundamental theorem of asset pricing Contingent claim
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A barrier contract paying a specified fixed amount if the underlying touches a specified barrier before expiry. Payment at touch and payment at expiry are different conventions. For payment at touch, valuation uses the truncated discounted Brownian first passage after converting a geometric stock barrier to a log-price level; discounting solely at expiry would price a different contract.

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  1. Contingent claim
  2. Fundamental theorem of asset pricing
  3. Mathematical finance
  4. Mathematical optimization
  5. Area of mathematics
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 43 / 6 / ii / Solution

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