Pricing derivatives with barriers in a stochastic interest rate environment

DOI10.1016/J.JEDC.2007.11.004zbMATH Open1181.91308OpenAlexW3122225546MaRDI QIDQ844767FDOQ844767

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

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zbMATH Keywords

barrier optionVasicek modelMarkovian approximationchange of numéraire

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (14)

• Pricing of Defaultable Securities under Stochastic Interest
• 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
• Barrier swaption pricing problem in uncertain financial market
• Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method
• A lattice algorithm for pricing moving average barrier options
• Continuity correction: on the pricing of discrete double barrier options
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Enhanced equity-credit modelling for contingent convertibles
• Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
• Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee
• Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
• Title not available (Why is that?)
• Efficient willow tree method for European-style and American-style moving average barrier options pricing

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