Advanced Search
MyIDEAS: Login to save this article or follow this journal

PDE methods for pricing barrier options

Contents:

Author Info

  • Zvan, R.
  • Vetzal, K. R.
  • Forsyth, P. A.
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V85-412RWNR-4/2/4eccddca471fb10cd6ac7b187a9323fc
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 24 (2000)
    Issue (Month): 11-12 (October)
    Pages: 1563-1590

    as in new window
    Handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1563-1590

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/jedc

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Broadie, Mark & Detemple, Jerome, 1995. "American Capped Call Options on Dividend-Paying Assets," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 161-91.
    2. Marti G. Subrahmanyam & Bin Gao & Jing-zhi Huang, 1998. "The Valuation of American Barrier Options Using the Decomposition Technique," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-067, New York University, Leonard N. Stern School of Business-.
    3. Ericsson, Jan & Reneby, Joel, 1995. "A Framework for Valuing Corporate Securities," Working Paper Series in Economics and Finance 89, Stockholm School of Economics, revised Oct 1998.
    4. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    5. P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
    6. K. Sandmann & Reimer, M., 1995. "A Discrete Time Approach for European and American Barrier Options," Discussion Paper Serie B 272, University of Bonn, Germany.
    7. Stephen Figlewski & Bin Gao, 1998. "The Adaptive Mesh Model: A New Approach to Efficient Option Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-032, New York University, Leonard N. Stern School of Business-.
    8. Boyle, Phelim P. & Tian, Yisong “Sam”, 1999. "Pricing Lookback and Barrier Options under the CEV Process," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(02), pages 241-264, June.
    9. Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349.
    10. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    11. Hélyette Geman & Marc Yor, 1996. "Pricing And Hedging Double-Barrier Options: A Probabilistic Approach," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 365-378.
    12. M. A. H. Dempster & J. P. Hutton, 1997. "Fast numerical valuation of American, exotic and complex options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(1), pages 1-20.
    13. Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298.
    14. Geske, Robert & Shastri, Kuldeep, 1985. "The early exercise of American puts," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 207-219, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Alfredo Ibáñez, 2003. "Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium," Management Science, INFORMS, vol. 49(9), pages 1210-1228, September.
    2. Chung, San-Lin & Shih, Pai-Ta & Tsai, Wei-Che, 2013. "Static hedging and pricing American knock-in put options," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 191-205.
    3. Dai, Min & Li, Peifan & Zhang, Jin E., 2010. "A lattice algorithm for pricing moving average barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 542-554, March.
    4. A. Mayo, 2004. "High-order accurate implicit finite difference method for evaluating American options," The European Journal of Finance, Taylor & Francis Journals, vol. 10(3), pages 212-237.
    5. Fusai, Gianluca & Recchioni, Maria Cristina, 2007. "Analysis of quadrature methods for pricing discrete barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 826-860, March.
    6. Simona Sanfelici, 2004. "Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff," Decisions in Economics and Finance, Springer, vol. 27(2), pages 125-151, December.
    7. Barone-Adesi, Giovanni & Bermudez, Ana & Hatgioannides, John, 2003. "Two-factor convertible bonds valuation using the method of characteristics/finite elements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1801-1831, August.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1563-1590. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.