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Two extensions to barrier option valuation

Published:1995-09 Issue:3 Volume:2 Page:173-209
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Carr P.

Publisher

Informa UK Limited

Subject

Applied Mathematics,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/13504869500000010

Reference31 articles.

1. Beaglehole, D. (1992) Down and out, up and in options, University of Iowa working paper.

2. Bhagavatula, R. and Carr, P. (1995) Valuing double barrier options with time-dependent parameters, Cornell University working paper.

3. The Pricing of Options and Corporate Liabilities

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