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Double barrier hitting time distributions with applications to exotic options

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  • Sheldon Lin, X.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3VRVF8V-5/2/6ff2be3d8ff987600b99b089c944e591
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 23 (1998)
    Issue (Month): 1 (October)
    Pages: 45-58

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    Handle: RePEc:eee:insuma:v:23:y:1998:i:1:p:45-58

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    2. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 12(3), pages 245-257, June.
    3. Boyle, Phelim P. & Lin, X. Sheldon, 1997. "Bounds on contingent claims based on several assets," Journal of Financial Economics, Elsevier, vol. 46(3), pages 383-400, December.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    5. Hans U. Gerber & Hlias S. W. Shiu, 1996. "Martingale Approach To Pricing Perpetual American Options On Two Stocks," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 303-322.
    6. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 303-304, December.
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    Cited by:
    1. Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Discussion Paper 2000-112, Tilburg University, Center for Economic Research.
    2. P├ęter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
    3. Lee, Hangsuck, 2003. "Pricing equity-indexed annuities with path-dependent options," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 677-690, December.
    4. Avanzi, Benjamin & Wong, Bernard, 2012. "On a mean reverting dividend strategy with Brownian motion," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 229-238.

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