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Pricing derivatives with barriers in a stochastic interest rate environment

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  • Bernard, Carole
  • Le Courtois, Olivier
  • Quittard-Pinon, François
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    File URL: http://www.sciencedirect.com/science/article/B6V85-4RC2NHN-2/2/0d123f4e8b084498fd768f10925778a3
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    Bibliographic Info

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

    Volume (Year): 32 (2008)
    Issue (Month): 9 (September)
    Pages: 2903-2938

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    Handle: RePEc:eee:dyncon:v:32:y:2008:i:9:p:2903-2938

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    Web page: http://www.elsevier.com/locate/jedc

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    1. Sam Howison, 2005. "Matched asymptotic expansions in financial engineering," OFRC Working Papers Series 2005mf01, Oxford Financial Research Centre.
    2. Vadim Linetsky, 1999. "Step Options," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 55-96.
    3. 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.
    4. Pierre Collin-Dufresne, 2001. "Do Credit Spreads Reflect Stationary Leverage Ratios?," Journal of Finance, American Finance Association, vol. 56(5), pages 1929-1957, October.
    5. Hélyette Geman & Marc Yor, 1996. "Pricing And Hedging Double-Barrier Options: A Probabilistic Approach," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 365-378.
    6. Briys, Eric & de Varenne, François, 1997. "Valuing Risky Fixed Rate Debt: An Extension," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(02), pages 239-248, June.
    7. Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349.
    8. Nick Webber & Claudia Ribeiro, 2003. "Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge," Computing in Economics and Finance 2003 4, Society for Computational Economics.
    9. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
    10. Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, Francois, 2005. "Market value of life insurance contracts under stochastic interest rates and default risk," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 499-516, June.
    11. Pascal Francois, 2004. "Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures," The Journal of Business, University of Chicago Press, vol. 77(2), pages 387-412, April.
    12. Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
    13. Sam Howison & Mario Steinberg, 2007. "A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(1), pages 63-89.
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    Cited by:
    1. Cui, Zhenyu & Mcleish, Don, 2010. "Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378–386]," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 1-4.
    2. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
    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.

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