AbstractThis paper studies a new type of barrier options where a regular barrier option comes into existence in the event that the underlying asset price first crosses specified barrier levels. We derive closed form formulas for the prices via the reflection principle and provide numerical results to illustrate the properties of our solutions with respect to option parameters
In this paper we address the pricing of double barrier options. To derive the density function of th...
This paper adapts the hybrid method, a combination of the Laplace transformation and the finite-diff...
The article continues the study of the market model based on jump-telegraph processes. It is assumed...
AbstractThis paper studies a new type of barrier options where a regular barrier option comes into e...
2019 The Author(s). A barrier option is an exotic path-dependent option contract that, depending on ...
Power barrier options are options where the payoff depends on an underlying asset raised to a consta...
Barrier options are set up conditionally, so that within the life of the option, a barrier may or ma...
In the presented thesis we study three methods of pricing European currency barrier options. With he...
Abstract: A barrier option is a derivative contract that is activated or extinguished when the price...
Abstract: In modern finance market, the option pricing prob-lem is one of the most important content...
The Double Barrier is a discretely-observed barrier option on a single asset. An initial stock price...
The paper analyzes a barrier exchange option that is knocked out the first time the two underlying a...
International audienceThis paper examines a path-dependent contingent claim called the window double...
International audienceDouble barrier options have been traded for a long time in the markets and the...
The option pricing problem is one of central contents in modern finance. A barrier option is a deriv...
In this paper we address the pricing of double barrier options. To derive the density function of th...
This paper adapts the hybrid method, a combination of the Laplace transformation and the finite-diff...
The article continues the study of the market model based on jump-telegraph processes. It is assumed...
AbstractThis paper studies a new type of barrier options where a regular barrier option comes into e...
2019 The Author(s). A barrier option is an exotic path-dependent option contract that, depending on ...
Power barrier options are options where the payoff depends on an underlying asset raised to a consta...
Barrier options are set up conditionally, so that within the life of the option, a barrier may or ma...
In the presented thesis we study three methods of pricing European currency barrier options. With he...
Abstract: A barrier option is a derivative contract that is activated or extinguished when the price...
Abstract: In modern finance market, the option pricing prob-lem is one of the most important content...
The Double Barrier is a discretely-observed barrier option on a single asset. An initial stock price...
The paper analyzes a barrier exchange option that is knocked out the first time the two underlying a...
International audienceThis paper examines a path-dependent contingent claim called the window double...
International audienceDouble barrier options have been traded for a long time in the markets and the...
The option pricing problem is one of central contents in modern finance. A barrier option is a deriv...
In this paper we address the pricing of double barrier options. To derive the density function of th...
This paper adapts the hybrid method, a combination of the Laplace transformation and the finite-diff...
The article continues the study of the market model based on jump-telegraph processes. It is assumed...
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