Two extensions to barrier option valuation

DOI10.1080/13504869500000010zbMath1466.91328OpenAlexW2167117533MaRDI QIDQ4994406

Peter Carr

Publication date: 18 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869500000010

zbMATH Keywords

option pricingexotic options

Mathematics Subject Classification ID

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

Related Items (10)

American barrier option pricing formulas for currency model in uncertain environment ⋮ Pricing external barrier options in a regime-switching model ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ Pricing double volatility barriers option under stochastic volatility ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ Unnamed Item ⋮ Multiperiod conditional valuation of barrier options with incomplete information ⋮ Pricing external barrier options under a stochastic volatility model ⋮ PDE methods for pricing barrier options

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing Options With Curved Boundaries¹
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