Cross a barrier to reach barrier options

DOI10.1016/J.JMAA.2011.12.038zbMATH Open1233.91281OpenAlexW2030064313MaRDI QIDQ764941FDOQ764941

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

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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)

Cites Work

• Title not available (Why is that?)
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Martingale methods in financial modelling.
• Window double barrier options
• Pricing Options With Curved Boundaries¹

Cited In (4)

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

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