Two extensions to barrier option valuation
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- Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara, 2015. "Pricing external barrier options in a regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 123-143.
- Andrew Ming-Long Wang & Yu-Hong Liu & Yi-Long Hsiao, 2009. "Barrier option pricing: a hybrid method approach," Quantitative Finance, Taylor & Francis Journals, pages 341-352.
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- Pierre-Emmanuel Thérond, 2014. "Some characteristics of an equity security next-year impairment," Post-Print hal-01152099, HAL.
- Norland, Erik & Wilford, D. Sykes, 2002. "Leverage, liquidity, volatility, time horizon, and the risk of ruin: A barrier option approach," Review of Financial Economics, Elsevier, vol. 11(3), pages 225-239.
- Tristan Guillaume, 2001. "valuation of options on joint minima and maxima," Applied Mathematical Finance, Taylor & Francis Journals, pages 209-233.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
- Grant Armstrong, 2001. "Valuation formulae for window barrier options," Applied Mathematical Finance, Taylor & Francis Journals, pages 197-208.
- Ravi Kashyap, 2016. "Securities Lending Strategies, Valuation of Term Loans using Option Theory," Papers 1609.01274, arXiv.org, revised Nov 2016.
- Jokivuolle, Esa & Keppo, Jussi, 2014. "Bankers' compensation: : Sprint swimming in short bonus pools?," Research Discussion Papers 2/2014, Bank of Finland.
- Jan Ericsson & Joel Reneby, 2003. "Stock options as barrier contingent claims," Applied Mathematical Finance, Taylor & Francis Journals, pages 121-147.
- Ballestra, Luca Vincenzo & Pacelli, Graziella & Zirilli, Francesco, 2007. "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3420-3437, November.
- Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October.
- Dietmar P.J. Leisen, 1999. "Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk," Discussion Paper Serie B 446, University of Bonn, Germany.
- repec:hal:wpaper:hal-00820929 is not listed on IDEAS
- Jan Ericsson & Joel Reneby, 2003.
"Stock options as barrier contingent claims,"
Applied Mathematical Finance,
Taylor & Francis Journals, pages 121-147.
- Ericsson, Jan & Reneby, Joel, 1996. "Stock Options as Barrier Contingent Claims," SSE/EFI Working Paper Series in Economics and Finance 137, Stockholm School of Economics, revised Sep 2002.
- Hans-Peter Bermin, 2000. "Hedging lookback and partial lookback options using Malliavin calculus," Applied Mathematical Finance, Taylor & Francis Journals, pages 75-100.
- Feng, Yun & Huang, Bing-hua & Young, Martin & Zhou, Qi-yuan, 2015. "Decomposing and valuing convertible bonds: A new method based on exotic options," Economic Modelling, Elsevier, vol. 47(C), pages 193-206.
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Keywordsoption pricing; exotic options;
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