PDE methods for pricing barrier options
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- Stephen Figlewski & Bin Gao, 1998.
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- P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
- Boyle, Phelim P. & Tian, Yisong “Sam”, 1999. "Pricing Lookback and Barrier Options under the CEV Process," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(02), pages 241-264, June.
- M. A. H. Dempster & J. P. Hutton, 1997. "Fast numerical valuation of American, exotic and complex options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(1), pages 1-20.
- Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349.
- Hélyette Geman & Marc Yor, 1996. "Pricing And Hedging Double-Barrier Options: A Probabilistic Approach," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 365-378.
- Gao, Bin & Huang, Jing-zhi & Subrahmanyam, Marti, 2000.
"The valuation of American barrier options using the decomposition technique,"
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Elsevier, vol. 24(11-12), pages 1783-1827, October.
- Marti G. Subrahmanyam & Bin Gao & Jing-zhi Huang, 1998. "The Valuation of American Barrier Options Using the Decomposition Technique," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-067, New York University, Leonard N. Stern School of Business-.
- Geske, Robert & Shastri, Kuldeep, 1985. "The early exercise of American puts," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 207-219, June.
- Broadie, Mark & Detemple, Jerome, 1995. "American Capped Call Options on Dividend-Paying Assets," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 161-91.
- K. Sandmann & Reimer, M., 1995. "A Discrete Time Approach for European and American Barrier Options," Discussion Paper Serie B 272, University of Bonn, Germany.
- Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298.
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