Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge
Hangsuck Lee, Hongjun Ha, Byungdoo Kong, Minha Lee
| Year of publication: |
2024
|
|---|---|
| Authors: | Lee, Hangsuck ; Ha, Hongjun ; Kong, Byungdoo ; Lee, Minha |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 73.2024, Art.-No. 102174, p. 1-15
|
| Subject: | Autocallable structured product | Barrier options | Exit probability | Three-dimensional Brownian bridge | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory | Marktaustritt | Market exit |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102174 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014581012