PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS

DOI10.1142/S021902490100122XzbMath1154.91461OpenAlexW3125658538MaRDI QIDQ3523603

P. H. Yuen, Chi-Fai Lo, Cho-Hoi Hui

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902490100122x

zbMATH Keywords

partial differential equationconstant elasticity of variancebarrier options

Mathematics Subject Classification ID

Related Items (11)

Lie-algebraic approach for pricing moving barrier options with time-dependent parameters ⋮ Efficient and high accuracy pricing of barrier options under the CEV diffusion ⋮ On a free boundary problem for an American put option under the CEV process ⋮ Systematic equity-based credit risk: A CEV model with jump to default ⋮ Asymptotics of Barrier Option Pricing Under the CEV Process ⋮ A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term ⋮ Analysis of quadrature methods for pricing discrete barrier options ⋮ Double knock-out Asian barrier options which widen or contract as they approach maturity ⋮ BARRIER OPTION PRICING BY BRANCHING PROCESSES ⋮ Valuing time-dependent CEV barrier options ⋮ The square-root process and Asian options

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing double barrier options using Laplace transforms
• Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
• Pricing Multi-Asset Options with an External Barrier
• Applications of Eigenfunction Expansions in Continuous-Time Finance
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹

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