A semi-analytic valuation of two-asset barrier options and autocallable products using Brownian bridge
Hangsuck Lee, Minha Lee, Bangwon Ko
| Year of publication: |
2022
|
|---|---|
| Authors: | Lee, Hangsuck ; Lee, Minha ; Ko, Bangwon |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 61.2022, p. 1-14
|
| Subject: | Autocallable structured product | Barrier options | Black-Scholes model | Esscher transform | Non-exit probability | Two-dimensional Brownian bridge | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101704 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013449375