Two extensions to barrier option valuation

Citations

Cited by:

1. Kirkby, J. Lars & Nguyen, Dang H. & Nguyen, Duy, 2020. "A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions," Applied Mathematics and Computation, Elsevier, vol. 386(C).
2. Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo, 2024. "Pricing first-touch digitals with a multi-step double boundary and American barrier options," Finance Research Letters, Elsevier, vol. 59(C).
3. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
4. Grant Armstrong, 2001. "Valuation formulae for window barrier options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 197-208.
5. Jan Ericsson & Joel Reneby, 2003. "Stock options as barrier contingent claims," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 121-147.
   • Ericsson, Jan & Reneby, Joel, 1996. "Stock Options as Barrier Contingent Claims," SSE/EFI Working Paper Series in Economics and Finance 137, Stockholm School of Economics, revised Sep 2002.
6. Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October.
7. Julien Azzaz & Stéphane Loisel & Pierre-E. Thérond, 2015. "Some characteristics of an equity security next-year impairment," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 111-135, July.
   • Pierre-Emmanuel Thérond & Julien Azzaz, 2013. "Some characteristics of an equity security next-year impairment," Post-Print hal-00933278, HAL.
   • Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2015. "Some characteristics of an equity security next-year impairment," Post-Print hal-00820929, HAL.
   • Pierre-Emmanuel Thérond, 2014. "Some characteristics of an equity security next-year impairment," Post-Print hal-01152099, HAL.
8. Jokivuolle, Esa & Keppo, Jussi, 2014. "Bankers' compensation: Sprint swimming in short bonus pools?," Bank of Finland Research Discussion Papers 2/2014, Bank of Finland.
9. Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara, 2015. "Pricing external barrier options in a regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 123-143.
10. Esquível, Manuel L. & Veiga, Carlos & Wystup, Uwe, 2010. "Unifying exotic option closed formulas," CPQF Working Paper Series 23, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
11. Erik Norland & D.Sykes Wilford, 2002. "Leverage, liquidity, volatility, time horizon, and the risk of ruin," Review of Financial Economics, John Wiley & Sons, vol. 11(3), pages 225-239.
12. Tristan Guillaume, 2023. "Multitouch Options," JRFM, MDPI, vol. 16(6), pages 1-29, June.
13. Zura Kakushadze, 2020. "Option Pricing: Channels, Target Zones and Sideways Markets," Papers 2006.14121, arXiv.org.
14. Jokivuolle, Esa & Keppo, Jussi, 2014. "Bankers' compensation: : Sprint swimming in short bonus pools?," Research Discussion Papers 2/2014, Bank of Finland.
15. Stoyan Valchev & Radu Tunaru & Frank J. Fabozzi, 2015. "Multiperiod conditional valuation of barrier options with incomplete information," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1093-1102, July.
16. repec:hal:wpaper:hal-00820929 is not listed on IDEAS
17. Andrew Ming-Long Wang & Yu-Hong Liu & Yi-Long Hsiao, 2009. "Barrier option pricing: a hybrid method approach," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 341-352.
18. Donghyun Kim & Ji-Hun Yoon, 2023. "Analytic Method for Pricing Vulnerable External Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1561-1591, April.
19. Norland, Erik & Wilford, D. Sykes, 2002. "Leverage, liquidity, volatility, time horizon, and the risk of ruin: A barrier option approach," Review of Financial Economics, Elsevier, vol. 11(3), pages 225-239.
20. repec:zbw:bofrdp:2014_002 is not listed on IDEAS
21. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
22. Hans-Peter Bermin, 2000. "Hedging lookback and partial lookback options using Malliavin calculus," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 75-100.
23. Feng, Yun & Huang, Bing-hua & Young, Martin & Zhou, Qi-yuan, 2015. "Decomposing and valuing convertible bonds: A new method based on exotic options," Economic Modelling, Elsevier, vol. 47(C), pages 193-206.
24. Tristan Guillaume, 2001. "valuation of options on joint minima and maxima," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 209-233.
25. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
26. Ballestra, Luca Vincenzo & Pacelli, Graziella & Zirilli, Francesco, 2007. "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3420-3437, November.
27. Zura Kakushadze, 2020. "Option Pricing: Channels, Target Zones and Sideways Markets," Bulletin of Applied Economics, Risk Market Journals, vol. 7(2), pages 25-33.