Analytic solution for American barrier options with two barriers

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

zbMATH Keywords

American optionbarriersanalytic solutionchained optionoptimal exercise

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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• Valuation of American partial barrier options
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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Cross a barrier to reach barrier options
• Multilevel dual approach for pricing American style derivatives
• Optimal Stopping and the American Put
• Option pricing: A simplified approach
• Pricing chained options with curved barriers
• The valuation of American barrier options using the decomposition technique
• Valuation of American partial barrier options

Cited in

(7)

• Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
• A barrier option of American type
• The valuation of American barrier options using the decomposition technique
• Analytic solutions for American partial barrier options by exponential barriers
• CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
• American options with discontinuous two-level caps
• Analytical Approximate Solutions to American Barrier and Lookback Option Values

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