CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION

DOI10.1142/S0219024999000030zbMath1153.91487MaRDI QIDQ3523510

Raphaël Douady

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

first hitting timedouble barrier optionsclosed forms

Mathematics Subject Classification ID

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

Related Items (8)

Quantifying risks with exact analytical solutions of derivative pricing distribution ⋮ A martingale analysis of first passage times of time-dependent Wiener diffusion models ⋮ Backward stochastic differential equations with non-Markovian singular terminal values ⋮ VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES ⋮ HEDGING DOUBLE BARRIERS WITH SINGLES ⋮ Static Hedging of Barrier Options with a Smile: An Inverse Problem ⋮ Assessing contaminated land cleanup costs and strategies ⋮ DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS

Cites Work

• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Pricing Options With Curved Boundaries¹

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