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Local time and the pricing of time-dependent barrier options

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  • Aleksandar Mijatović

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    File URL: http://hdl.handle.net/10.1007/s00780-008-0077-5
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 14 (2010)
    Issue (Month): 1 (January)
    Pages: 13-48

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    Handle: RePEc:spr:finsto:v:14:y:2010:i:1:p:13-48

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    Related research

    Keywords: Time-dependent single- and double-barrier options; Local time on curves; Volterra integral equation of the first kind; Delta at the barrier; 60H30; 45D05; G13; C60;

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    References

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    1. Kraft, Holger, 2007. "Pitfalls in static superhedging of barrier options," Finance Research Letters, Elsevier, Elsevier, vol. 4(1), pages 2-9, March.
    2. Antoon Pelsser, 2000. "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, Springer, vol. 4(1), pages 95-104.
    3. Gregor Dorfleitner & Paul Schneider & Kurt Hawlitschek & Arne Buch, 2008. "Pricing options with Green's functions when volatility, interest rate and barriers depend on time," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(2), pages 119-133.
    4. Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, American Finance Association, vol. 53(3), pages 1165-1190, 06.
    5. Hélyette Geman & Marc Yor, 1996. "Pricing And Hedging Double-Barrier Options: A Probabilistic Approach," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(4), pages 365-378.
    6. Carr, Peter P & Jarrow, Robert A, 1990. "The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(3), pages 469-92.
    7. S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 1(2), pages 1-14.
    8. Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 11(3), pages 285-314.
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    Cited by:
    1. Alexander Cox & Jan Obłój, 2011. "Robust pricing and hedging of double no-touch options," Finance and Stochastics, Springer, Springer, vol. 15(3), pages 573-605, September.
    2. Trutnau, Gerald, 2011. "Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 121(8), pages 1845-1863, August.
    3. Aleksandar Mijatovic & Mikhail Urusov, 2009. "On the Martingale Property of Certain Local Martingales," Papers 0905.3701, arXiv.org, revised Oct 2010.

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