A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries

DOI10.1080/13504860903075480zbMath1188.91210MaRDI QIDQ5851725

Peter W. Buchen, Otto Konstandatos

Publication date: 25 January 2010

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

Full work available at URL: https://doi.org/10.1080/13504860903075480

zbMATH Keywords

method of images; exotic options; double-barrier options; parity relations of double-barrier options

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

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

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Cites Work

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