PRICING CHAINED OPTIONS WITH CURVED BARRIERS

DOI10.1111/J.1467-9965.2011.00513.XzbMath1275.91133OpenAlexW2157724322MaRDI QIDQ2851563

Hyejin Ku, Doobae Jun

Publication date: 11 October 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00513.x

zbMATH Keywords

chained optionexponential barriercurved barrier

Mathematics Subject Classification ID

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

Related Items (2)

Analytic solution for American barrier options with two barriers ⋮ DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS

Cites Work

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• Martingale methods in financial modelling.
• Pricing algorithms of multivariate path dependent options
• Window double barrier options
• Boundary crossing probability for Brownian motion
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Approximations of boundary crossing probabilities for a Brownian motion

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