Pricing Options With Curved Boundaries1
From MaRDI portal
Publication:4345935
Recommendations
- Pricing chained options with curved barriers
- scientific article; zbMATH DE number 1952942
- scientific article; zbMATH DE number 953314
- Equilibrium pricing bounds on option prices
- scientific article; zbMATH DE number 1783879
- scientific article; zbMATH DE number 1379402
- Option Pricing
- On the range of options prices
Cites work
Cited in
(84)- Analysis of quadrature methods for pricing discrete barrier options
- Valuing time-dependent CEV barrier options
- PDE methods for pricing barrier options
- Pricing foreign exchange options under intervention by absorption modeling
- Valuation of American strangles through an optimized lower-upper bound approach
- Pricing external barrier options in a regime-switching model
- A hybrid finite difference method for pricing two-asset double barrier options
- Efficient lattice method for valuing of options with barrier in a regime switching model
- Pricing down-and-out power options with exponentially curved barrier
- Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
- On the first exit time of geometric Brownian motion from stochastic exponential boundaries
- Pricing external barrier options under a stochastic volatility model
- Very fast algorithms for implied barriers and moving-barrier options pricing
- Outside barrier lookback options with floating strike
- On the pricing of exotic options: a new closed-form valuation approach
- A domain-theoretic approach to Brownian motion and general continuous stochastic processes
- Local time and the pricing of path-dependent options
- Spectral binomial tree: new algorithms for pricing barrier options
- Linear-time option pricing algorithms by combinatorics
- An alternative approach to modelling relapse in cancer with an application to adenocarcinoma of the prostate
- Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
- Pricing chained options with curved barriers
- The binomial interpolated lattice method for step double barrier options
- HEDGING DOUBLE BARRIERS WITH SINGLES
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
- Computation of first-order greeks for barrier options using chain rules for Wiener path integrals
- Double knock-out Asian barrier options which widen or contract as they approach maturity
- Barrier option pricing: a hybrid method approach
- Pricing Lookback Options with Knock‐out Boundaries
- Barrier options and their static hedges: simple derivations and extensions
- Pricing options with Green's functions when volatility, interest rate and barriers depend on time
- CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
- LOCAL SCALE INVARIANCE AND CONTINGENT CLAIM PRICING II: PATH-DEPENDENT CONTINGENT CLAIMS
- PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
- Double barrier option under regime-switching exponential mean-reverting process
- Barrier option pricing by branching processes
- Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering
- A boundary element method to price time-dependent double barrier options
- Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
- A PDE approach to risk measures of derivatives
- Valuation formulae for window barrier options
- valuation of options on joint minima and maxima
- A simple approach for pricing barrier options with time-dependent parameters
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- Numerical method of pricing discretely monitored barrier option
- Unbiased and efficient Greeks of financial options
- Continuously monitored barrier options under Markov processes
- A Markov chain approximation scheme for option pricing under skew diffusions
- Two extensions to barrier option valuation
- Double-barrier option pricing under the hyper-exponential jump diffusion model
- Pricing step-up options using Laplace transform
- Running supremum of Brownian motion in dimension 2: exact and asymptotic results
- Pricing double-barrier option with processes depending on various states of the economy
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
- A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)
- MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
- Real options maximizing survival probability under incomplete markets
- Analytical path-integral pricing of deterministic moving-barrier options under non-Gaussian distributions
- Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
- Option pricing and Greeks via a moving least square meshfree method
- THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY
- DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
- THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY
- FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
- A Hamiltonian approach to floating barrier option pricing
- Continuity correction: on the pricing of discrete double barrier options
- On the convergence scheme in the CRR model
- On the Problem of Pricing a Double Barrier Option in a Modified Black-Scholes Environment
- Stock loan with automatic termination clause, cap and margin
- A note on first-passage times of continuously time-changed Brownian motion
- Pricing airbag option via first passage time approach
- Analytical valuation of a general form of barrier option with stochastic interest rate and jumps
- A discrete-time algorithm for pricing double barrier options.
- Barrier option pricing and hedging model under stochastic conditions
- Valuation of American partial barrier options
- Cross a barrier to reach barrier options
- Lie symmetries methods in boundary crossing problems for diffusion processes
- Pricing double-barrier options under a flexible jump diffusion model
- Analytic crossing probabilities for certain barriers by Brownian motion
- On valuation of derivative securities: A Lie group analytical approach.
This page was built for publication: Pricing Options With Curved Boundaries1
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4345935)