On the pricing of options written on the last exit time
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Publication:1041303
DOI10.1007/s11009-008-9086-2zbMath1193.91147OpenAlexW1970944351MaRDI QIDQ1041303
Jirô Akahori, Yuri Imamura, Yuko Yano
Publication date: 2 December 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-008-9086-2
Brownian motion (60J65) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
A remark on static hedging of options written on the last exit time ⋮ Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
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