DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS

DOI10.1142/S0219024913500441zbMath1295.91082arXiv1207.4608OpenAlexW2169035645MaRDI QIDQ5411740

Karin Hirhager, Sühan Altay, Rainer Haidinger, Stefan Gerhold

Publication date: 25 April 2014

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

Full work available at URL: https://arxiv.org/abs/1207.4608

zbMATH Keywords

Black-Scholes modeloccupation timedigital optiondouble barrier optionbinary optioncorridor optionstructure floor

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• PRICING CHAINED OPTIONS WITH CURVED BARRIERS
• Pricing Options With Curved Boundaries¹
• VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES

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