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Time‐dependent barrier option values

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  • Cho H. Hui

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  • Cho H. Hui, 1997. "Time‐dependent barrier option values," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(6), pages 667-688, September.
    • Handle: RePEc:wly:jfutmk:v:17:y:1997:i:6:p:667-688
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    Cited by:

    1. Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
    2. Julien Azzaz & Stéphane Loisel & Pierre-E. Thérond, 2015. "Some characteristics of an equity security next-year impairment," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 111-135, July.
    3. Bekiros, Stelios & Kouloumpou, Dimitra, 2019. "On the pricing of exotic options: A new closed-form valuation approach," Chaos, Solitons & Fractals, Elsevier, vol. 122(C), pages 153-162.
    4. Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2021. "Valuation of piecewise linear barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    5. Branislav Radak, 2017. "Chapman–Kolmogorov equations for multi-period equity-linked note with conditional coupons," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-15, March.
    6. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    7. Lu, Yu-Ming & Lyuu, Yuh-Dauh, 2023. "Very fast algorithms for implied barriers and moving-barrier options pricing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 205(C), pages 251-271.
    8. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.
    9. Jun, Doobae & Ku, Hyejin, 2017. "Closed-form solutions for options with random initiation under asset price monitoring," Finance Research Letters, Elsevier, vol. 20(C), pages 68-74.
    10. Chen, Son-Nan & Hsu, Pao-Peng, 2018. "Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 330-346.
    11. Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
    12. Lee, Hangsuck & Jeong, Himchan & Lee, Minha, 2022. "Multi-step double barrier options," Finance Research Letters, Elsevier, vol. 47(PA).
    13. Lee, Hangsuck & Ha, Hongjun & Kong, Byungdoo & Lee, Minha, 2023. "Pricing multi-step double barrier options by the efficient non-crossing probability," Finance Research Letters, Elsevier, vol. 54(C).

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