Pricing derivatives with barriers in a stochastic interest rate environment

DOI10.1016/j.jedc.2007.11.004zbMath1181.91308OpenAlexW3122225546MaRDI QIDQ844767

François Quittard-Pinon, Carole Bernard, Olivier Le Courtois

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.11.004

zbMATH Keywords

Vasicek modelbarrier optionchange of numéraireMarkovian approximation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

Enhanced equity-credit modelling for contingent convertibles ⋮ Efficient willow tree method for European-style and American-style moving average barrier options pricing ⋮ Comment on ``Option pricing under the Merton model of the short rate by Kung and Lee ⋮ NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD ⋮ Continuity correction: on the pricing of discrete double barrier options ⋮ Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options ⋮ A lattice algorithm for pricing moving average barrier options ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ Unnamed Item ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation

Cites Work

• Market value of life insurance contracts under stochastic interest rates and default risk
• Optimal portfolios with stochastic interest rates and defaultable assets.
• Pricing double barrier options using Laplace transforms
• Matched asymptotic expansions in financial engineering
• Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
• A Continuity Correction for Discrete Barrier Options
• Step Options
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Brownian Excursions and Parisian Barrier Options
• Arbitrage Theory in Continuous Time

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