Pricing down-and-out power options with exponentially curved barrier

DOI10.3934/naco.2018018zbMath1419.91623OpenAlexW2811063428WikidataQ129550588 ScholiaQ129550588MaRDI QIDQ1713232

Siti Nur Iqmal Ibrahim, Teck Wee Ng

Publication date: 24 January 2019

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2018018

zbMATH Keywords

Girsanov theorembarrier optionpower optionrisk-neutral valuationexponentially curved barrier

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing Parisian and Parasian options analytically
• Risk-neutral valuation of power barrier options
• Pricing Parisian down-and-in options
• Barrier options and their static hedges: simple derivations and extensions
• Pricing Options With Curved Boundaries¹
• A simple approach for pricing barrier options with time-dependent parameters
• Parisian exchange options
• AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS
• Brownian Motion in the Stock Market
• Option pricing: A simplified approach

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