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Multiperiod conditional valuation of barrier options with incomplete information

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  • Stoyan Valchev
  • Radu Tunaru
  • Frank J. Fabozzi

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  • Stoyan Valchev & Radu Tunaru & Frank J. Fabozzi, 2015. "Multiperiod conditional valuation of barrier options with incomplete information," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1093-1102, July.
  • Handle: RePEc:taf:quantf:v:15:y:2015:i:7:p:1093-1102
    DOI: 10.1080/14697688.2014.945472
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    References listed on IDEAS

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    1. Abundo, Mario, 2002. "Some conditional crossing results of Brownian motion over a piecewise-linear boundary," Statistics & Probability Letters, Elsevier, vol. 58(2), pages 131-145, June.
    2. P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
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