scientific article; zbMATH DE number 7468926

DOI10.14317/jami.2020.439zbMath1499.91142MaRDI QIDQ5027046

Changki Kim, Eyunghee Kim, Jerim Kim

Publication date: 3 February 2022

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Laplace transformoption pricingregime switchingbarrier optionmulti-barriersstep-up option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Cites Work

• Unnamed Item
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• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
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• VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
• CONVERGENCE OF BARRIER OPTION PRICES IN THE BINOMIAL MODEL
• Two extensions to barrier option valuation