Analytic solution for American barrier options with two barriers
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Publication:458329
DOI10.1016/J.JMAA.2014.08.047zbMATH Open1307.91178OpenAlexW2050193013MaRDI QIDQ458329FDOQ458329
Authors: Doobae Jun, Hyejin Ku 
Publication date: 7 October 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.08.047
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Cites Work
- Optimal Stopping and the American Put
- Title not available (Why is that?)
- Option pricing: A simplified approach
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- The valuation of American barrier options using the decomposition technique
- Multilevel dual approach for pricing American style derivatives
- Pricing chained options with curved barriers
- Valuation of American partial barrier options
- Cross a barrier to reach barrier options
Cited In (6)
- The valuation of American barrier options using the decomposition technique
- CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
- Analytical Approximate Solutions to American Barrier and Lookback Option Values
- A barrier option of American type
- Analytic solutions for American partial barrier options by exponential barriers
- Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
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