Digital barrier option contract with exponential random time

DOI10.1093/IMAMAT/HXS013zbMATH Open1282.91333OpenAlexW2077977689MaRDI QIDQ2874012FDOQ2874012

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

Recommendations

• Double barrier hitting time distributions with applications to exotic options
• Asymptotic behaviour of random maturity barrier options
• DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
• Two extensions to barrier option valuation
• CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION

zbMATH Keywords

exponential timedigital barrier option

Mathematics Subject Classification ID

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

Cited In (1)

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

This page was built for publication: Digital barrier option contract with exponential random time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2874012)