Multiperiod conditional valuation of barrier options with incomplete information
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References listed on IDEAS
- 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.
- P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
- 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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