Pricing chained options with curved barriers
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Publication:2851563
DOI10.1111/J.1467-9965.2011.00513.XzbMATH Open1275.91133OpenAlexW2157724322MaRDI QIDQ2851563FDOQ2851563
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
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Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Approximations of boundary crossing probabilities for a Brownian motion
- Boundary crossing probability for Brownian motion
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Martingale methods in financial modelling.
- Window double barrier options
- Pricing Options With Curved Boundaries1
- Pricing algorithms of multivariate path dependent options
Cited In (10)
- 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
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- Pricing down-and-out power options with exponentially curved barrier
- Pricing Options With Curved Boundaries1
- A snowball currency option
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