Pricing two-asset alternating barrier options with icicles and their variations
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Publication:2131928
DOI10.1007/S42952-019-00039-3zbMath1485.62147OpenAlexW3000156299MaRDI QIDQ2131928
Hangsuck Lee, Eunchae Kim, Seongjoo Song
Publication date: 27 April 2022
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42952-019-00039-3
Brownian motionEsscher transformfactorization formulaequity-linked productsicicled barrier optionalternating barrier option
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Valuing Equity-Indexed Annuities
- “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000
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