BARRIER OPTION PRICING BY BRANCHING PROCESSES

DOI10.1142/S0219024909005555zbMath1196.91058MaRDI QIDQ3655557

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Publication date: 8 January 2010

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

zbMATH Keywords

barrier optionup-and-out call optionBienayme-Galton-Watson branching process in a random environment

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items (9)

Multitype branching processes in random environment ⋮ Large deviations for Lotka-Nagaev estimator of a randomly indexed branching process ⋮ Berry-Esseen type inequality for a Poisson randomly indexed branching process via Stein's method ⋮ Large and moderate deviations for a class of renewal random indexed branching process ⋮ Large deviations for a Poisson random indexed branching process ⋮ Controlled branching processes with continuous time ⋮ Multiperiod conditional valuation of barrier options with incomplete information ⋮ Limit theorems for a supercritical Poisson random indexed branching process ⋮ Notes on large deviations for branching processes indexed by a Poisson process

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingale methods in financial modelling.
• PDE methods for pricing barrier options
• A Continuity Correction for Discrete Barrier Options
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Stock prices as branching processes
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• An explicit finite difference approach to the pricing of barrier options
• Financial Modelling with Jump Processes
• Asymptotic Behavior of the Extinction Probabilitiesfor Stopped Branching Processes
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY

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