The pricing of dual-expiry exotics

DOI10.1088/1469-7688/4/1/009zbMATH1405.91596OpenAlexW1984583547MaRDI QIDQ4647600FDOQ4647600

Authors Peter W. Buchen

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/4/1/009

zbMATH Keywords

partial differential equationdual-expiry exotic option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1642339 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing and hedging power options

Cited in

(9)

• A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
• Chooser options on various underlying options
• Higher order binary options and multiple-expiry exotics
• Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models
• How much is the gap? -- Efficient jump risk-adjusted valuation of leveraged certificates
• Two Exotic Lookback Options
• Unifying exotic option closed formulas
• Valuation of employee stock options using the exercise multiple approach and life tables
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY

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