Analytic solutions for American partial barrier options by exponential barriers

DOI10.11568/kjm.2017.25.2.229zbMath1474.91203OpenAlexW2733034215MaRDI QIDQ5208536

Doobae Jun, Chulhan Bae

Publication date: 8 January 2020

Full work available at URL: http://journal.kkms.org/index.php/kjm/article/view/537/366

zbMATH Keywords

American optionpartial barrier optionexponential barrier

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Valuation of American partial barrier options
• Pricing and hedging power options
• The valuation of American barrier options using the decomposition technique
• On the rate of convergence of the binomial tree scheme for American options
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• A simple iterative method for the valuation of American options