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

DOI10.3934/NACO.2018018MaRDI QIDQ1713232zbMATH OpenOpenAlexWikidataFDO

Authors Teck Wee Ng, Siti Nur Iqmal Ibrahim

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

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

Recommendations

• Risk-neutral valuation of power barrier options
• Pricing chained options with curved barriers
• Pricing power double exponential barriers chained option
• The pricing of discrete barrier power option
• Pricing external-chained barrier options with exponential barriers

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A simple approach for pricing barrier options with time-dependent parameters
• An analytical solution for Parisian up-and-in calls
• Barrier options and their static hedges: simple derivations and extensions
• Brownian motion in the stock market
• Option pricing: A simplified approach
• Parisian exchange options
• Pricing Options With Curved Boundaries¹
• Pricing Parisian and Parasian options analytically
• Pricing Parisian down-and-in options
• Risk-neutral valuation of power barrier options
• The pricing of options and corporate liabilities

Cited in

(4)

• The use of power numeraires in option pricing
• Risk-neutral valuation of power barrier options
• Pricing power double exponential barriers chained option
• General best of power option

This page was built for publication: Pricing down-and-out power options with exponentially curved barrier

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1713232)