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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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  • Sheldon Lin, X., 1998. "Double barrier hitting time distributions with applications to exotic options," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 45-58, October.
    • Handle: RePEc:eee:insuma:v:23:y:1998:i:1:p:45-58
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    1. 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, July.
    2. 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.
    3. 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.
    4. 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.
    5. Goldman, M Barry & Sosin, Howard B & Gatto, Mary Ann, 1979. "Path Dependent Options: "Buy at the Low, Sell at the High"," Journal of Finance, American Finance Association, vol. 34(5), pages 1111-1127, December.
    6. 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 637-654, May-June.
    7. Gerber, Hans U. & Shiu, Elias S.W., 1994. "Martingale Approach to Pricing Perpetual American Options," ASTIN Bulletin, Cambridge University Press, vol. 24(2), pages 195-220, November.
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    Cited by:

    1. Youngchul Han & Geonwoo Kim, 2016. "Efficient Lattice Method for Valuing of Options with Barrier in a Regime Switching Model," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-14, October.
    2. Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Discussion Paper 2000-112, Tilburg University, Center for Economic Research.
    3. Péter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
    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.
    5. Vaibhav Srivastava & Samuel F. Feng & Jonathan D. Cohen & Naomi Ehrich Leonard & Amitai Shenhav, 2015. "A martingale analysis of first passage times of time-dependent Wiener diffusion models," Papers 1508.03373, arXiv.org, revised Sep 2016.
    6. Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo, 2024. "Pricing first-touch digitals with a multi-step double boundary and American barrier options," Finance Research Letters, Elsevier, vol. 59(C).
    7. Jing-Tang Tsay & Che-Chun Lin & Jerry T. Yang, 2018. "Pricing Mortgage-Backed Securities-First Hitting Time Approach," International Real Estate Review, Global Social Science Institute, vol. 21(4), pages 419-446.
    8. Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Other publications TiSEM e810e3ab-1936-457e-a3ae-7, Tilburg University, School of Economics and Management.
    9. Pötzelberger Klaus, 2012. "Improving the Monte Carlo estimation of boundary crossing probabilities by control variables," Monte Carlo Methods and Applications, De Gruyter, vol. 18(4), pages 353-377, December.
    10. Roy Cerqueti, 2022. "A new concept of reliability system and applications in finance," Annals of Operations Research, Springer, vol. 312(1), pages 45-64, May.
    11. Feng, Runhuan & Shimizu, Yasutaka, 2016. "Applications of central limit theorems for equity-linked insurance," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 138-148.
    12. Lee, Hangsuck & Jeong, Himchan & Lee, Minha, 2022. "Multi-step double barrier options," Finance Research Letters, Elsevier, vol. 47(PA).
    13. Lee, Hangsuck & Ko, Bangwon & Lee, Minha, 2023. "The pricing and static hedging of multi-step double barrier options," Finance Research Letters, Elsevier, vol. 55(PA).
    14. Lin, X. Sheldon & Wu, Panpan & Wang, Xiao, 2016. "Move-based hedging of variable annuities: A semi-analytic approach," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 40-49.
    15. Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo & Lee, Minha, 2023. "Pricing multi-step double barrier options by the efficient non-crossing probability," Finance Research Letters, Elsevier, vol. 54(C).
    16. Tung-Lung Wu, 2020. "A Note on Erdös and Kac’s Identity: Boundary Crossing Probabilities of Brownian Motion Over Constant Boundaries," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 161-171, March.
    17. Lee, Hangsuck, 2003. "Pricing equity-indexed annuities with path-dependent options," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 677-690, December.
    18. Gabriela Pesce & Florencia Verónica Pedroni & Etelvina Chávez & María de la Paz Moral & María Andrea Rivero, 2021. "Exotic options: conceptualization and evolution in the literature from a systematic review," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 95, pages 231-275, July-Dece.
    19. Liqun Wang & Klaus Pötzelberger, 2007. "Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries," Methodology and Computing in Applied Probability, Springer, vol. 9(1), pages 21-40, March.
    20. Fernández Lexuri & Hieber Peter & Scherer Matthias, 2013. "Double-barrier first-passage times of jump-diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 107-141, July.
    21. Pingjin Deng & Xiufang Li, 2017. "Barrier Options Pricing With Joint Distribution Of Gaussian Process And Its Maximum," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-18, September.

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