Valuation of American partial barrier options

DOI10.1007/s11147-012-9081-1zbMath1296.91264OpenAlexW2025228508MaRDI QIDQ744405

Hyejin Ku, Doobae Jun

Publication date: 25 September 2014

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-012-9081-1

zbMATH Keywords

hitting timeAmerican optionbarrier approximationpartial barrier option

Mathematics Subject Classification ID

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

Related Items (2)

Analytic solution for American barrier options with two barriers ⋮ Analytic solutions for American partial barrier options by exponential barriers

Cites Work

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• Pricing and hedging power options
• Window double barrier options
• The valuation of American barrier options using the decomposition technique
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Pricing Options With Curved Boundaries¹
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach

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