The pricing problem of rainbow barrier options

MaRDI QIDQ3537804zbMATH OpenFDO

Authors Yang Wang, Jizhou Zhang

Publication date 24 November 2008

zbMATH Keywords

option pricingpartial differential equationrainbow barrier options

Mathematics Subject Classification ID

Recommendations

• The pricing for the barriers options based on the perturbation theory
• Barrier options' pricing and its error analysis based on perturbation method
• Barrier options' pricing under the nonlinear Black-Scholes model
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Barrier Options with Time–Dependent Coefficients

Cited in

(3)

• Mathematical analysis of the two-color partial rainbow options
• PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH
• Pricing rainbow option for uncertain financial market

This page was built for publication: The pricing problem of rainbow barrier options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3537804)