CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS

DOI10.1142/S0219024901001012MaRDI QIDQ3523577zbMATH OpenOpenAlexFDO

Authors Espen Gaarder Haug

Publication date 3 September 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024901001012

zbMATH Keywords

American barrier optionsclosed form solutionsgeometric Brownian motionreflection principle

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Recommendations

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Cites work

• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(8)

• The valuation of American barrier options using the decomposition technique
• Using forward Monte-Carlo simulation for the valuation of American barrier options
• Pricing the American options: a closed-form, simple formula
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
• Analytical Approximate Solutions to American Barrier and Lookback Option Values
• Valuation formulae for window barrier options
• Analytic solution for American barrier options with two barriers
• Valuation of American partial barrier options

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