On pricing of vulnerable barrier options and vulnerable double barrier options
Author:
Funder
University of International Business and Economics
National Natural Science Foundation of China
Publisher
Elsevier BV
Subject
Finance
Reference29 articles.
1. A new approach to pricing double-barrier options with arbitrary payoffs and exponential boundaries;Buchen;Appl. Math. Financ.,2009
2. Pricing double-barrier options under a flexible jump diffusion model;Cai;Oper. Res. Lett.,2009
3. The evaluation of barrier option prices under stochastic volatility;Chiarella;Comput. Math. Appl.,2012
4. Structuring, pricing and hedging double-barrier step options;Davydov;J. Comput. Financ.,2002
5. Analytical pricing of vulnerable options under a generalized jump-diffusion model;Fard;Insurance,2015
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