Analytic solution for American barrier options with two barriers
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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
(8)- 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
- Efficient valuation of barrier options under equity and interest rate risks
- American options with discontinuous two-level caps
- Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
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