The pricing of dual-expiry exotics

DOI10.1088/1469-7688/4/1/009zbMATH Open1405.91596OpenAlexW1984583547MaRDI 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

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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)

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Pricing and hedging power options
• Title not available (Why is that?)

Cited In (9)

• 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
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
• Higher order binary options and multiple-expiry exotics
• Valuation of employee stock options using the exercise multiple approach and life tables
• A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
• Two Exotic Lookback Options
• Unifying exotic option closed formulas
• Chooser options on various underlying options

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