Higher order binary options and multiple-expiry exotics

MaRDI QIDQ5358775zbMATH OpenFDO

Authors Hyong-Chol O, M. C. Kim

Publication date 22 September 2017

Full work available at URL https://arxiv.org/abs/1302.3319, http://fcag-egypt.com/Journals/EJMAA/Vol1(2)_Papers/Volume1(2)_Paper12_Abstract.html

zbMATH Keywords

Bermudan optionexotic optionextendable optionhigher order binary optionmultiple-expiryshout option

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(3)

• Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models
• The pricing of dual-expiry exotics
• General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs

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