Analytic solution for American barrier options with two barriers

DOI10.1016/j.jmaa.2014.08.047zbMath1307.91178OpenAlexW2050193013MaRDI QIDQ458329

Doobae Jun, Hyejin Ku

Publication date: 7 October 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.08.047

zbMATH Keywords

analytic solutionAmerican optionbarrierschained optionoptimal exercise

Mathematics Subject Classification ID

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

Cites Work

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• Optimal Stopping and the American Put
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• Option pricing: A simplified approach