Barrier options pricing with joint distribution of Gaussian process and its maximum

DOI10.1142/S021902491750042XMaRDI QIDQ5367498zbMATHOpenAlexFDO

Authors X.-F. Li, Ping-Jin Deng

Publication date 13 October 2017

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902491750042x

zbMATH Keywords

barrier optionboundary noncrossing probabilityoptions pricingSlepian processup-out-call performance optionup-out-put performance option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• First-passage time for a particular stationary periodic Gaussian process
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• PDE methods for pricing barrier options
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• Remarks on “boundary crossing result for brownian motion”
• The asymptotic distribution of the scan statistic under uniformity
• The pricing of options and corporate liabilities

Cited in

(4)

• Maximum of Brownian motion and barrier option
• A note on the joint distribution of \(\alpha, \beta \)-percentiles and its application to the option pricing
• The dependence structure of running maxima and minima: results and option pricing applications
• Joint distribution of Brownian motion and its maximum, with a generalization to correlated BM and applications to barrier options

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