PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS

DOI10.4134/BKMS.B150789zbMath1349.91272OpenAlexW2548519494MaRDI QIDQ2828687

Junkee Jeon, Ji-Hun Yoon

Publication date: 26 October 2016

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=468040

zbMATH Keywords

stochastic differential equationsreflection principledouble Mellin transformdouble barrierchained optionexternal barriers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Variational inequality arising from variable annuity with mean reversion environment ⋮ Pricing external barrier options under a stochastic volatility model

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