THE BRITISH KNOCK-OUT PUT OPTION

DOI10.1142/S0219024915500089zbMath1337.91082MaRDI QIDQ5249750

Luluwah Al-Fagih

Publication date: 11 May 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

nonlinear integral equationfree-boundary problemstopped processlocal time-space calculusknock-out optionarbitrage-free priceliquid/illiquid marketBritish barrier put-call symmetryBritish optionEuropean/American barrier option

Mathematics Subject Classification ID

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

Related Items (1)

THE BRITISH ASSET-OR-NOTHING PUT OPTION

Cites Work

• The valuation of American barrier options using the decomposition technique
• Selling a stock at the ultimate maximum
• Local time and the pricing of path-dependent options
• A change-of-variable formula with local time on curves
• The British Put Option
• The British call option

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