Valuation of American partial barrier options

DOI10.1007/S11147-012-9081-1MaRDI QIDQ744405zbMATH OpenOpenAlexFDO

Authors Doobae Jun, Hyejin Ku

Publication date 25 September 2014

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-012-9081-1

zbMATH Keywords

American optionhitting timebarrier approximationpartial barrier option

Mathematics Subject Classification ID

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

Recommendations

• CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
• The valuation of American barrier options using the decomposition technique
• On the valuation of American options
• PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
• Asymptotics of American barrier option pricing
• Valuation of American Options via Basis Functions
• Valuation of American continuous-installment put options
• Modified barrier penalization method for pricing American options
• Approximations for the values of american options

Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal Stopping and the American Put
• Option pricing: A simplified approach
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing and hedging power options
• The valuation of American barrier options using the decomposition technique
• Valuing American options by simulation: a simple least-squares approach
• Window double barrier options

Cited in

(9)

• A barrier option of American type
• Valuation formulae for window barrier options
• The valuation of American barrier options using the decomposition technique
• Analytic solutions for American partial barrier options by exponential barriers
• valuation of options on joint minima and maxima
• EPV-operators in barrier option with a simple time dependent barrier
• CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
• Analytical Approximate Solutions to American Barrier and Lookback Option Values
• Analytic solution for American barrier options with two barriers

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