PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS

DOI10.1142/S021902490100122XzbMath1154.91461MaRDI QIDQ3523603

Cho-Hoi Hui, Chi-Fai Lo, P. H. Yuen

Publication date: 3 September 2008

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

zbMATH Keywords

partial differential equation; constant elasticity of variance; barrier options

Mathematics Subject Classification ID

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing double barrier options using Laplace transforms
• Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
• Pricing Multi-Asset Options with an External Barrier
• Applications of Eigenfunction Expansions in Continuous-Time Finance
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹