BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM

DOI10.1142/S021902491750042XzbMath1396.91724OpenAlexW2753688919MaRDI QIDQ5367498

Xiu-Fang Li, Ping-Jin Deng

Publication date: 13 October 2017

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

Full work available at URL: https://doi.org/10.1142/s021902491750042x

zbMATH Keywords

barrier optionboundary noncrossing probabilityoptions pricingSlepian processup-out-call performance optionup-out-put performance option

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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