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
Black-Scholes modeloccupation timedigital optiondouble barrier optionbinary optioncorridor optionstructure floor
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)
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