Digital barrier option contract with exponential random time

DOI10.1093/IMAMAT/HXS013MaRDI QIDQ2874012zbMATH OpenOpenAlexFDO

Authors Doobae Jun, Hyejin Ku

Publication date 28 January 2014

Published in IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/e791f31b15fad45998b92bb7b7738973734439f2

zbMATH Keywords

exponential timedigital barrier option

Mathematics Subject Classification ID

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

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Cited in

(1)

• DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS

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