A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries

DOI10.1080/13504860903075480zbMath1188.91210OpenAlexW1972412270MaRDI QIDQ5851725

Peter W. Buchen, Otto Konstandatos

Publication date: 25 January 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903075480

zbMATH Keywords

method of imagesexotic optionsdouble-barrier optionsparity relations of double-barrier options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• Pricing and hedging power options
• Martingales and stochastic integrals in the theory of continuous trading
• A NEW METHOD OF PRICING LOOKBACK OPTIONS
• Two Exotic Lookback Options
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• The Mathematics of Financial Derivatives

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