Multiperiod conditional valuation of barrier options with incomplete information

DOI10.1080/14697688.2014.945472zbMath1395.91470OpenAlexW1724980262MaRDI QIDQ4683066

Stoyan Valchev, Frank J. Fabozzi, Radu S. Tunaru

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.945472

Mathematics Subject Classification ID

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

Cites Work

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• Some conditional crossing results of Brownian motion over a piecewise-linear boundary
• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• BARRIER OPTION PRICING BY BRANCHING PROCESSES
• Two extensions to barrier option valuation
• PARTIAL INFORMATION AND HAZARD PROCESS
• Heuristic Approach to the Kolmogorov-Smirnov Theorems