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The valuation of turbo warrants under the CEV model

Tese de mestrado em Matemática Financeira, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2012 ; This thesis uses the Laplace transform of the probability distributions of the minimum and maximum asset prices and of the expected value of the terminal payoff of a down-and-out option to derive closed-form solutions for the prices of lookback options and turbo call warrants, under the Con...