Local time and the pricing of time-dependent barrier options
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References listed on IDEAS
- Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, June.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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, vol. 121(8), pages 1845-1863, August.
- Alexander Cox & Jan Obłój, 2011. "Robust pricing and hedging of double no-touch options," Finance and Stochastics, Springer, vol. 15(3), pages 573-605, September.
- Michele Bonollo & Luca Di Persio & Luca Mammi & Immacolata Oliva, 2017. "Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time," Papers 1704.03244, arXiv.org.
- José Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
- Aleksandar Mijatovic & Mikhail Urusov, 2009. "On the Martingale Property of Certain Local Martingales," Papers 0905.3701, arXiv.org, revised Oct 2010.
More about this item
KeywordsTime-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;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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