valuation of options on joint minima and maxima

DOI10.1080/13504860210122384zbMath1026.91047OpenAlexW1982957379MaRDI QIDQ4551197

Tristan Guillaume

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860210122384

zbMATH Keywords

explicit formulaevaluation problemstep barrier options

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (2)

Valuation formulae for window barrier options ⋮ Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering

Cites Work

• Unnamed Item
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Pricing and hedging power options
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• On the distribution of points in a cube and the approximate evaluation of integrals

This page was built for publication: valuation of options on joint minima and maxima