A closed-form formula for an option with discrete and continuous barriers

DOI10.1080/03610920903402605MaRDI QIDQ3083786zbMATH OpenOpenAlexFDO

Authors Chun-Ying Chen, Pei-Ju Chou, Jeff Yu-Shun Hsu, Wisely Po-Hong Liu, Yuh-Dauh Lyuu, Chuan-Ju Wang

Publication date 23 March 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920903402605

zbMATH Keywords

option pricingbarrier optionanalytical formulastructured product

Mathematics Subject Classification ID

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

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Cites work

• A continuity correction for discrete barrier options
• An exact analytical solution for discrete barrier options
• Martingale methods in financial modelling.
• The Numerical Evaluation of Certain Multivariate Normal Integrals
• The pricing of options and corporate liabilities

Cited in

(2)

• Very fast algorithms for implied barriers and moving-barrier options pricing
• Numerical method of pricing discretely monitored barrier option

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