Abstract
The paper provides closed-form expressions for the price of several barrier type derivatives with a three-dimensional geometric Wiener process as underlying. These solutions are found for special correlation matrices and are given by linear combinations of three-dimensional Gaussian cumulative distributions. The method of images is used as a key technique to establish the solutions. Two cases are described extending the results to a wider set of correlation matrices, one case deals with random variances and the other case with random correlations.
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