A Closed-Form Formula for an Option with Discrete and Continuous Barriers

DOI10.1080/03610920903402605zbMath1208.91142OpenAlexW2085290823MaRDI QIDQ3083786

Wisely Po-Hong Liu, Yuh-Dauh Lyuu, Chuan-Ju Wang, Chun-Ying Chen, Pei-Ju Chou, Jeff Yu-Shun Hsu

Publication date: 23 March 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903402605

zbMATH Keywords

option pricingbarrier optionanalytical formulastructured product

Mathematics Subject Classification ID

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

Related Items (2)

Numerical method of pricing discretely monitored barrier option ⋮ Very fast algorithms for implied barriers and moving-barrier options pricing

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingale methods in financial modelling.
• An exact analytical solution for discrete barrier options
• A Continuity Correction for Discrete Barrier Options
• The Numerical Evaluation of Certain Multivariate Normal Integrals

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