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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. Antoon Pelsser, 2000. "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, vol. 4(1), pages 95-104.
    2. 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.
    3. 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.
    4. Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349.
    5. 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.
    6. 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.
    7. Vadim Linetsky, 1999. "Step Options," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 55-96.
    8. 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.
    9. Sam Howison, 2005. "Matched asymptotic expansions in financial engineering," OFRC Working Papers Series 2005mf01, Oxford Financial Research Centre.
    10. Pierre Collin-Dufresne, 2001. "Do Credit Spreads Reflect Stationary Leverage Ratios?," Journal of Finance, American Finance Association, vol. 56(5), pages 1929-1957, October.
    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. 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 and Francis Journals, vol. 14(1), pages 63-89.
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    Cited by:
    1. 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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