IDEAS home Printed from
   My bibliography  Save this book chapter

Barrier options

In: Non-Gaussian Merton-Black-Scholes Theory


  • Svetlana I. Boyarchenko

    (University of Texas at Austin, USA)

  • Sergei Z. Levendorskiĭ

    (Rostov State University of Economics, Russia)


AbstractThe following sections are included:Types of barrier optionsStandard barrier optionsOptions with a rebateDown-and-out call option without a rebateReduction to the boundary problem for the Generalized Black-Scholes equationReduction to the Cauchy problem for an ordinary differential operator with the operator-valued coefficientConstruction of the resolvent, and the Wiener-Hopf factorization with a parameterProof of Eq. (8.17) and continuity of the RHS in Eq. (8.19)Asymptotics of the option price near the barrierCommentary

Suggested Citation

  • Svetlana I. Boyarchenko & Sergei Z. Levendorskiĭ, 2002. "Barrier options," World Scientific Book Chapters,in: Non-Gaussian Merton-Black-Scholes Theory, chapter 8, pages 185-198 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812777485_0008

    Download full text from publisher

    File URL:
    Download Restriction: Ebook Access is available upon purchase.

    File URL:
    Download Restriction: Ebook Access is available upon purchase.

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2009. "Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models," Papers 0911.0373,, revised Oct 2010.
    2. N. Reich & C. Schwab & C. Winter, 2010. "On Kolmogorov equations for anisotropic multivariate Lévy processes," Finance and Stochastics, Springer, vol. 14(4), pages 527-567, December.
    3. Jos'e E. Figueroa-L'opez & Peter Tankov, 2012. "Small-time asymptotics of stopped L\'evy bridges and simulation schemes with controlled bias," Papers 1203.2355,, revised Jul 2014.
    4. Sergei Levendorskii, 2002. "Pseudo-diffusions and Quadratic term structure models," Papers cond-mat/0212249,, revised Apr 2004.
    5. Denis Belomestny, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers SFB649DP2009-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    More about this item


    Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • A1 - General Economics and Teaching - - General Economics
    • A2 - General Economics and Teaching - - Economic Education and Teaching of Economics
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812777485_0008. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.