Closed form valuation of barrier options with stochastic barriers

DOI10.1007/s10479-020-03860-wzbMath1492.60229OpenAlexW3118351188MaRDI QIDQ2151659

Tristan Guillaume

Publication date: 5 July 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03860-w

zbMATH Keywords

barrier optionboundary crossing probabilityoption valuationfirst passage time probabilitystochastic barrier

Mathematics Subject Classification ID

Brownian motion (60J65) Financial markets (91G15)

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Uses Software

• Cuba

Cites Work

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