Pricing Multi-Asset Options with an External Barrier
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Publication:2703112
DOI10.1142/S021902499800028XzbMath0987.91030MaRDI QIDQ2703112
Hong Yu, Lixin Wu, Yue Kuen Kwok
Publication date: 20 June 2002
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Related Items (13)
On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion ⋮ Pricing algorithms of multivariate path dependent options ⋮ Approximate arbitrage-free option pricing under the SABR model ⋮ Pricing external barrier options in a regime-switching model ⋮ Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering ⋮ Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion ⋮ CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS ⋮ PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS ⋮ Valuation on an outside-reset option with multiple resettable levels and dates ⋮ ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING ⋮ Pricing external barrier options under a stochastic volatility model ⋮ Optimal control of European double barrier basket options ⋮ Valuing time-dependent CEV barrier options
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