Valuation formulae for window barrier options
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Cites work
- scientific article; zbMATH DE number 942202 (Why is no real title available?)
- scientific article; zbMATH DE number 274399 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
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Cited in
(7)- Window double barrier options
- Very fast algorithms for implied barriers and moving-barrier options pricing
- Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering
- On extension of the Markov chain approximation method for computing Feynman-Kac type expectations
- Analytical valuation of a general form of barrier option with stochastic interest rate and jumps
- On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary
- Pricing derivatives with barriers in a stochastic interest rate environment
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