Closed form valuation of American chained knock-in options-Reference-Cited by-同舟云学术

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Closed form valuation of American chained knock-in options

Published:2016-05 Issue: Volume:17 Page:176-185
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Han Heejae,Jeon Junkee,Kang Myungjoo

Funder

NRF

Publisher

Elsevier BV

Subject

Finance

Reference14 articles.

1. Knock-in american options;Dai;J. Futures Mark.,2004

2. Pricing and hedging double-barrier options: a probabilistic approach;Geman;Math. Financ.,1996

3. The Complete Guide to Option Pricing Formulas;Haug,1997

4. Partial barrier options;Heynen;J. Financ. Eng.,1994

5. Pricing and hedging american options: a recursive integration method;Huang;Rev. Financ. Stud.,1996

Cited by 5 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. Valuing American options using multi-step rebate options;The North American Journal of Economics and Finance;2024-09

2. Analytical valuation of vulnerable chained options;The North American Journal of Economics and Finance;2024-01

3. Analytic valuation of European continuous-installment barrier options;Journal of Computational and Applied Mathematics;2020-01

4. Integral representation of vega for American put options;Finance Research Letters;2016-11

5. Integral Representation of Vega for American Put Options;SSRN Electronic Journal;2016

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