Closed form valuation of barrier options with stochastic barriers
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DOI: 10.1007/s10479-020-03860-w
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- Szu-Lang Liao & Hsing-Hua Huang, 2005. "Pricing Black-Scholes options with correlated interest rate risk and credit risk: an extension," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 443-457.
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- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Klein, Peter & Inglis, Michael, 2001. "Pricing vulnerable European options when the option's payoff can increase the risk of financial distress," Journal of Banking & Finance, Elsevier, vol. 25(5), pages 993-1012, May.
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Keywords
Boundary crossing probability; First passage time probability; Barrier option; Stochastic barrier; Option valuation;All these keywords.
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