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

DOI10.3934/NACO.2018018zbMATH Open1419.91623OpenAlexW2811063428WikidataQ129550588 ScholiaQ129550588MaRDI QIDQ1713232FDOQ1713232

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

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

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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Option pricing: A simplified approach
• Brownian motion in the stock market
• Pricing Parisian and Parasian options analytically
• Pricing Options With Curved Boundaries¹
• Barrier options and their static hedges: simple derivations and extensions
• A simple approach for pricing barrier options with time-dependent parameters
• Pricing Parisian down-and-in options
• Risk-neutral valuation of power barrier options
• Parisian exchange options
• An analytical solution for Parisian up-and-in calls

Cited In (4)

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

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)