Cross a barrier to reach barrier options

DOI10.1016/J.JMAA.2011.12.038MaRDI QIDQ764941zbMATH OpenOpenAlexFDO

Authors Doobae Jun, Hyejin Ku

Publication date 16 March 2012

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2011.12.038

zbMATH Keywords

hitting timebarrier optionreflection principle

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Martingale methods in financial modelling.
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Window double barrier options

Cited in

(4)

• A new type of barrier options: lizard option
• Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier
• Counting paths on a chessboard with a barrier
• Analytic solution for American barrier options with two barriers

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