Window double barrier options
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Cited by:
- Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
- Tristan Guillaume, 2011. "Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering," Post-Print hal-00924277, HAL.
- Choe, Geon Ho & Koo, Ki Hwan, 2014. "Probability of multiple crossings and pricing of double barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 156-184.
- Doobae Jun & Hyejin Ku, 2013. "Valuation of American partial barrier options," Review of Derivatives Research, Springer, vol. 16(2), pages 167-191, July.
- Zhang, Jiayi & Zhou, Ke, 2024. "Analytical valuation of vulnerable chained options," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Fernández Lexuri & Hieber Peter & Scherer Matthias, 2013. "Double-barrier first-passage times of jump-diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 107-141, July.
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Keywords
option; barrier; double barrier; window; pricing; hedging; numerical integration; dimension;All these keywords.
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