Pricing derivatives with barriers in a stochastic interest rate environment

DOI10.1016/J.JEDC.2007.11.004MaRDI QIDQ844767zbMATH OpenOpenAlexFDO

Authors Carole Bernard, François Quittard-Pinon, Olivier Le Courtois

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2007.11.004

zbMATH Keywords

barrier optionchange of numéraireMarkovian approximationVasicek model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A continuity correction for discrete barrier options
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• Arbitrage Theory in Continuous Time
• Brownian Excursions and Parisian Barrier Options
• Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
• Market value of life insurance contracts under stochastic interest rates and default risk
• Matched asymptotic expansions in financial engineering
• Optimal portfolios with stochastic interest rates and defaultable assets.
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing double barrier options using Laplace transforms
• Step options.

Cited in

(17)

• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
• Barrier option pricing under the Vasicek model of the short rate
• Pricing of Defaultable Securities under Stochastic Interest
• scientific article; zbMATH DE number 2065147 (Why is no real title available?)
• Enhanced equity-credit modelling for contingent convertibles
• Efficient willow tree method for European-style and American-style moving average barrier options pricing
• Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
• Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method
• Barrier swaption pricing problem in uncertain financial market
• Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee
• Continuity correction: on the pricing of discrete double barrier options
• Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
• Efficient valuation of barrier options under equity and interest rate risks
• Analytical valuation of a general form of barrier option with stochastic interest rate and jumps
• Barrier option pricing and hedging model under stochastic conditions
• A lattice algorithm for pricing moving average barrier options

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