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

DOI10.1080/03610920903402605zbMATH Open1208.91142OpenAlexW2085290823MaRDI QIDQ3083786FDOQ3083786

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

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zbMATH Keywords

option pricingbarrier optionanalytical formulastructured product

Mathematics Subject Classification ID

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

Cites Work

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

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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