Cross a barrier to reach barrier options

DOI10.1016/J.JMAA.2011.12.038zbMath1233.91281OpenAlexW2030064313MaRDI QIDQ764941

Hyejin Ku, Doobae Jun

Publication date: 16 March 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.12.038

zbMATH Keywords

hitting timereflection principlebarrier option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Analytic solution for American barrier options with two barriers ⋮ Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier

Cites Work

• Unnamed Item
• Martingale methods in financial modelling.
• Window double barrier options
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹

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