Probability of multiple crossings and pricing of double barrier options-Reference-Cited by-同舟云学术

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Probability of multiple crossings and pricing of double barrier options

Published:2014-07 Issue: Volume:29 Page:156-184
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Choe Geon Ho,Koo Ki Hwan

Funder

Ministry of Education

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference22 articles.

1. Valuation formulae for window barrier options;Armstrong;Applied Mathematical Finance,2001

2. Pricing general barrier options: A numerical approach using sharp large deviations;Baldi;Mathematical Finance,1999

3. A new approach to pricing double-barrier options with arbitrary payoffs and exponential boundaries;Buchen;Applied Mathematical Finance,2009

4. Roll-up puts, roll-down calls, and contingent premium options;Gastineau;Journal of Derivatives,1994

5. Pricing and hedging double-barrier options: A probabilistic approach;Geman;Mathematical Finance,1996

Cited by 4 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. The pricing and static hedging of multi-step double barrier options;Finance Research Letters;2023-07

2. Static Hedging Methods for Pricing Double Barrier Options;Advances in Pacific Basin Business, Economics and Finance;2022-03-15

3. Multi-step double barrier options;Finance Research Letters;2021-11

4. Piecewise linear double barrier options;Journal of Futures Markets;2021-10-21

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