Double knock-out Asian barrier options which widen or contract as they approach maturity

Barrier options are considered for Asian options using a differential equation method. Solutions are obtained in the form of Fourier series for barriers which expand or contract as they approach maturity. Rigorous bounds are obtained. It is shown that by differentiating with respect to a parameter, solutions for more general payoffs can be obtained.

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Year of publication:	2009
Authors:	Atkinson, C. ; Kazantzaki, S.
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 3, p. 329-340
Publisher:	Taylor & Francis Journals
Subject:	Barrier options \| Asian options \| Differential equation method

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004982256