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A simple approach for pricing barrier options with time-dependent parameters

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  • C. F. Lo
  • H. C. Lee
  • C. H. Hui
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    Abstract

    In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option prices.

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    File URL: http://www.tandfonline.com/doi/abs/10.1088/1469-7688/3/2/304
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

    Volume (Year): 3 (2003)
    Issue (Month): 2 ()
    Pages: 98-107

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    Handle: RePEc:taf:quantf:v:3:y:2003:i:2:p:98-107

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    Web page: http://www.tandfonline.com/RQUF20

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    Web: http://www.tandfonline.com/pricing/journal/RQUF20

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    Cited by:
    1. Damiano Brigo & Massimo Morini & Marco Tarenghi, 2009. "Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk," Papers 0912.4404, arXiv.org.
    2. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model," Papers 0912.3031, arXiv.org.
    3. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    4. C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang, 2008. "Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios," Working Papers 042008, Hong Kong Institute for Monetary Research.
    5. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.

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