Risk-neutral valuation of power barrier options-Reference-Cited by-同舟云学术

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Risk-neutral valuation of power barrier options

Published:2013-06 Issue:6 Volume:26 Page:595-600
ISSN:0893-9659
Container-title:Applied Mathematics Letters
language:en
Short-container-title:Applied Mathematics Letters

Author:

Ibrahim Siti Nur Iqmal,O’Hara John G.,Constantinou Nick

Funder

Universiti Putra Malaysia

Ministry of Higher Education Malaysia

Publisher

Elsevier BV

Subject

Applied Mathematics

Reference18 articles.

1. Theory of rational option pricing;Merton;The Bell Journal of Economics and Management Science,1973

2. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

3. Options Markets;Cox,1985

4. Breaking down the barriers;Rubinstein;Risk,1991

5. Option Pricing: Mathematical Models and Computation;Wilmott,1993

Cited by 11 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Pricing formula for a Barrier call option based on stochastic delay differential equation;Statistics & Probability Letters;2024-02

2. Pricing of Quanto power options and related exotic options;Results in Applied Mathematics;2023-05

3. Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility;Applied Mathematics and Computation;2022-02

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