PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
From MaRDI portal
Publication:3523603
DOI10.1142/S021902490100122XzbMath1154.91461MaRDI QIDQ3523603
Cho-Hoi Hui, Chi-Fai Lo, P. H. Yuen
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
Related Items
On a free boundary problem for an American put option under the CEV process, Lie-algebraic approach for pricing moving barrier options with time-dependent parameters, A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term, Analysis of quadrature methods for pricing discrete barrier options, Valuing time-dependent CEV barrier options, Efficient and high accuracy pricing of barrier options under the CEV diffusion, Systematic equity-based credit risk: A CEV model with jump to default, Asymptotics of Barrier Option Pricing Under the CEV Process, Double knock-out Asian barrier options which widen or contract as they approach maturity, The square-root process and Asian options, BARRIER OPTION PRICING BY BRANCHING PROCESSES
Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing double barrier options using Laplace transforms
- Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
- Pricing Multi-Asset Options with an External Barrier
- Applications of Eigenfunction Expansions in Continuous-Time Finance
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Pricing Options With Curved Boundaries1