Valuation formulae for window barrier options

DOI10.1080/13504860210124607zbMath1021.91023OpenAlexW2033264197MaRDI QIDQ4551196

Grant F. Armstrong

Publication date: 5 September 2002

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

Full work available at URL: https://doi.org/10.1080/13504860210124607

zbMATH Keywords

hedgingtrivariate normal distributionconvolution densityapproximate risk sensitivitiesapproximating trivariate normal probabilitiesoption valuation formulaewindow barrier option

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering ⋮ Very fast algorithms for implied barriers and moving-barrier options pricing

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing and hedging power options
• Pricing Options With Curved Boundaries¹
• valuation of options on joint minima and maxima
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