Pricing and hedging barrier options

DOI10.1002/ASMB.2316zbMATH Open1396.91806OpenAlexW2793913907MaRDI QIDQ5374586FDOQ5374586

Allan Jonathan da Silva, Dorival Leão, Estevão Jun. Rosalino, J. Baczynski

Publication date: 14 September 2018

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2316

zbMATH Keywords

hedgingbarrier optionfinite-difference methodrisk-neutral measureno-arbitrage pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

Cited In (9)

• An actuarial approach to pricing barrier options
• Pricing chained options with curved barriers
• Pricing and hedging vulnerable option with funding costs and collateral
• Pricing external-chained barrier options with exponential barriers
• Robust hedging of barrier options.
• Title not available (Why is that?)
• Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
• Pricing and Hedging Spread Options
• An explicit finite difference approach to the pricing of barrier options

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