Asymptotic behaviour of random maturity barrier options

DOI10.1504/IJOR.2016.076302zbMath1362.91040OpenAlexW2346811597MaRDI QIDQ2627710

Mohamed Riad Remita, Nawel Khodja, Faouzi Trabelsi

Publication date: 31 May 2017

Published in: International Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijor.2016.076302

zbMATH Keywords

option pricingasymptotic behaviourTaylor expansionhitting timeBlack-ScholesEuropean barrier optionsrandom maturitydeterministic maturityEuropean barrier callEuropean barrier putsmall volatilityup and out barrier option

Mathematics Subject Classification ID

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

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