Local time and the pricing of path-dependent options

DOI10.1007/S00780-008-0077-5zbMath1224.91160OpenAlexW2119684423MaRDI QIDQ2430252

Aleksandar Mijatović

Publication date: 6 April 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0077-5

zbMATH Keywords

permutation testsVolterra integral equation of the first kindlocal time on curvestime-dependent barrier optionsup- and downside volatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05)

Related Items (12)

Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) ⋮ Ruin probability in a risk model with variable premium intensity and risky investments ⋮ Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit ⋮ The functional Meyer–Tanaka formula ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Stock loan with automatic termination clause, cap and margin ⋮ Robust pricing and hedging of double no-touch options ⋮ On the martingale property of certain local martingales ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time ⋮ Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve ⋮ Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model ⋮ THE BRITISH KNOCK-OUT PUT OPTION

Uses Software

• Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The pricing of the American option
• A general version of the fundamental theorem of asset pricing
• A note on option pricing for the constant elasticity of variance model
• Diffusion processes and their sample paths.
• Pricing double barrier options using Laplace transforms
• Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
• Local martingales, bubbles and option prices
• A change-of-variable formula with local time on curves
• Robust Hedging of Barrier Options
• Pricing options with Green's functions when volatility, interest rate and barriers depend on time
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• Smooth Transition Densities for One-Dimensional Diffusions
• LAPACK Users' Guide
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Optimal Stopping and the American Put
• Pricing Options With Curved Boundaries¹
• A Change-of-Variable Formula with Local Time on Surfaces
• Product Integration for the Generalized Abel Equation
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Local time and the pricing of path-dependent options