Search Results - subject:"(Double) barrier options"

Pricing multi-step double barrier options by the efficient non-crossing probability

Lee, Hangsuck; Ha, Hongjun; Kong, Byungdoo; Lee, Minha - In: Finance research letters 54 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472740

Multi-step double barrier options

Lee, Hangsuck; Jeong, Himchan; Lee, Minha - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013457467

On pricing of vulnerable barrier options and vulnerable double barrier options

Wang, Heqian; Zhang, Jiayi; Zhou, Ke - In: Finance research letters 44 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014495047

Static hedging methods for pricing double barrier options

Chen, Yi-Ling; Luo, Hong-Yu; Tsai, Wei-Che; Zhang, Hang - In: Advances in Pacific Basin business, economics and finance 10 (2022), pp. 29-58

Persistent link: https://www.econbiz.de/10013206994

Pricing double barrier options on homogeneous diffusions : a Neumann series of Bessel functions representation

Kravchenko, Igor V.; Kravchenko, Vladislav V.; Torba, … - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-24

Persistent link: https://www.econbiz.de/10012153074

A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries

Buchen, Peter; Konstandatos, Otto - In: Applied Mathematical Finance 16 (2009) 6, pp. 497-515

We consider in this article the arbitrage free pricing of double knock-out barrier options with payoffs that are arbitrary functions of the underlying asset, where we allow exponentially time-varying barrier levels in an otherwise standard Black-Scholes model. Our approach, reminiscent of the...

Persistent link: https://www.econbiz.de/10008609599

Pricing discrete double barrier options with a numerical method

Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: The journal of asset management 16 (2015) 4, pp. 243-271

Persistent link: https://www.econbiz.de/10011413369

THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS

APPOLLONI, ELISA; GAUDENZI, MARCELLINO; ZANETTE, ANTONINO - In: International Journal of Theoretical and Applied … 17 (2014) 06, pp. 1450035-1

We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm … options and permits the valuation of step double barrier options with American features. We provide a complete convergence …, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier …

Persistent link: https://www.econbiz.de/10010933657

The binomial interpolated lattice method for step double barrier options

Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-26

Persistent link: https://www.econbiz.de/10010438537

Perpetual barrier options in jump-diffusion models

Gapeev, Pavel V. - 2006

We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...

Persistent link: https://www.econbiz.de/10010263649