Valuation formulae for window barrier options
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References listed on IDEAS
- P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
- Tristan Guillaume, 2001. "valuation of options on joint minima and maxima," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 209-233.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tristan Guillaume, 2011. "Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering," Post-Print hal-00924277, HAL.
- 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.
- Yuji Hishida & Kenji Yasutomi, 2009. "Asymptotic behavior of prices of path dependent options," Papers 0911.5579, arXiv.org.
More about this item
KeywordsWindow Barrier Options; Convolution Density; Option Valuation Formulae; Trivariate Normal Distribution;
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