| In this thesis, we consider the pricing of barrier option and ladder option which ini-tiate at a random time with exponential distribution. Firstly introduce the development situation of barrier option and ladder option, and introduce the preliminary results neces-sary to obtain the option value formula. Secondly, we derive closed-form valuation formula for barrier options initiating at a random time with exponential distribution by martin-gale methods. Finally, we present the pricing formula for ladder option with exponential random time. |
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