CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS

DOI10.1142/S0219024901001012zbMath1153.91504OpenAlexW3124155591MaRDI QIDQ3523577

Espen Gaarder Haug

Publication date: 3 September 2008

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

Full work available at URL: https://doi.org/10.1142/s0219024901001012

zbMATH Keywords

closed form solutionsgeometric Brownian motionreflection principleAmerican barrier options

Mathematics Subject Classification ID

Related Items (2)

Using forward Monte-Carlo simulation for the valuation of American barrier options ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing: A simplified approach

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