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

DOI10.1142/S021902491750042XzbMATH Open1396.91724OpenAlexW2753688919MaRDI QIDQ5367498FDOQ5367498

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

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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)

Cites Work

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• Mathematical analysis of pricing of lookback performance options

Cited In (3)

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

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