PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS (Q2828687)

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PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS
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    title
    PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS (English)
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    DOI
    10.4134/BKMS.b150789
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    author
    Junkee Jeon
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    Ji-Hun Yoon
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    publication date
    26 October 2016
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    Mathematics Subject Classification ID
    91G20
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    60H10
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    60H30
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    zbMATH DE Number
    6643636
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    zbMATH Keywords
    chained option
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    external barriers
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    double barrier
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    stochastic differential equations
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    reflection principle
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    double Mellin transform
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