Two extensions to barrier option valuation

DOI10.1080/13504869500000010MaRDI QIDQ4994406zbMATH OpenOpenAlexFDO

Authors Peter Carr

Publication date 18 June 2021

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504869500000010

zbMATH Keywords

exotic optionsoption pricing

Mathematics Subject Classification ID

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

Recommendations

• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Barrier options and their static hedges: simple derivations and extensions
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• Pricing and hedging barrier options
• Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou

Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Pricing Options With Curved Boundaries¹
• The pricing of options and corporate liabilities

Cited in

(21)

• On pricing exponential square root barrier knockout European options
• PDE methods for pricing barrier options
• Pricing external barrier options in a regime-switching model
• Risk-neutral valuation of power barrier options
• Pricing external barrier options under a stochastic volatility model
• American barrier option pricing formulas for currency model in uncertain environment
• Closed form valuation of barrier options with stochastic barriers
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
• A new integral equation approach for pricing American-style barrier options with rebates
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
• Digital barrier option contract with exponential random time
• Stock options as barrier contingent claims
• Valuation formulae for window barrier options
• valuation of options on joint minima and maxima
• Multiperiod conditional valuation of barrier options with incomplete information
• Pricing step-up options using Laplace transform
• Pricing double volatility barriers option under stochastic volatility
• Pricing airbag option via first passage time approach
• On extension of the Markov chain approximation method for computing Feynman-Kac type expectations
• Barrier option pricing and hedging model under stochastic conditions
• Cross a barrier to reach barrier options

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