Pricing chained options with curved barriers

DOI10.1111/J.1467-9965.2011.00513.XMaRDI QIDQ2851563zbMATH OpenOpenAlexFDO

Authors Doobae Jun, Hyejin Ku

Publication date 11 October 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2011.00513.x

zbMATH Keywords

chained optionexponential barriercurved barrier

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Approximations of boundary crossing probabilities for a Brownian motion
• Boundary crossing probability for Brownian motion
• Martingale methods in financial modelling.
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing algorithms of multivariate path dependent options
• Window double barrier options

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• A snowball currency option
• DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
• Pricing airbag option via first passage time approach
• Pricing power double exponential barriers chained option
• Analytic solution for American barrier options with two barriers
• Pricing external-chained barrier options with exponential barriers
• Pricing of quanto chained options
• scientific article; zbMATH DE number 1952942 (Why is no real title available?)
• Pricing down-and-out power options with exponentially curved barrier
• Pricing Options With Curved Boundaries¹

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