A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
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- 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.
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- Kyng, T. & Konstandatos, O. & Bienek, T., 2016.
"Valuation of employee stock options using the exercise multiple approach and life tables,"
Insurance: Mathematics and Economics,
Elsevier, vol. 68(C), pages 17-26.
- Otto Konstandatos & Timothy Kyng & Tobias Bienek, 2015. "Valuation of Employee Stock Options using the Exercise Multiple Approach and Life Tables," Research Paper Series 355, Quantitative Finance Research Centre, University of Technology, Sydney.
- Keegan Mendonca & Vasileios E. Kontosakos & Athanasios A. Pantelous & Konstantin M. Zuev, 2018. "Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation," Papers 1803.03364, arXiv.org, revised Mar 2018.
- Choe, Geon Ho & Koo, Ki Hwan, 2014. "Probability of multiple crossings and pricing of double barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 156-184.
- Thorsten Upmann, 2013. "Pricing Onion Options: A Probabilistic Approach," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(4), pages 11-25, October.
- Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017. "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers 1712.08247, 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.
More about this item
KeywordsExotic options; double-barrier options; method of images; parity relations of double-barrier options;
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