Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals-Reference-Cited by-同舟云学术

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Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals

Published:2017 Issue:0 Volume:9 Page:13-16
ISSN:1883-0609
Container-title:JSIAM Letters
language:en
Short-container-title:JSIAM Letters

Author:

Ishitani Kensuke¹

Affiliation:

1. Department of Mathematics and Information Sciences, Tokyo Metropolitan University

Publisher

The Japan Society for Industrial and Applied Mathematics

Link

https://www.jstage.jst.go.jp/article/jsiaml/9/0/9_13/_pdf

Reference7 articles.

1. 1) R. C. Merton, Theory of rational option pricing, Bell J. Econ., 4 (1973), 141-183.

2. 2) N. Kunitomo and M. Ikeda, Pricing options with curved boundaries, Math. Finan., 2 (1992), 275-298.

3. 3) Y. Muroi, Pricing lookback options with knock-out boundaries, Appl. Math. Finan., 13 (2006), 155-190.

4. 4) S. Kusuoka, M. Ninomiya and S. Ninomiya, Application of the Kusuoka approximation to barrier options, CARF Working Paper, CARF-F-277, The University of Tokyo, (2012), 1-8.

5. 5) T. Kato, A. Takahashi and T. Yamada, A semigroup expansion for pricing barrier options, Int. J. Stoch. Anal., 8 (2014), 1-15.

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