Analytical valuation of exotic double barrier options
Year of publication: |
2021
|
---|---|
Authors: | Chang, Jui-Jane ; Pai, Hui-Ming ; Wu, Ting-Pin |
Published in: |
The journal of derivatives : JOD. - London : IPR Journals, ISSN 2168-8524, ZDB-ID 2048690-X. - Vol. 28.2021, 3, p. 97-122
|
Subject: | Derivatives | options | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
-
Vincent-Humphreys, Rupert de, (2012)
-
Souza, Giuliano Carrozza Uzêda Iorio de, (2013)
-
Bias correction for bond option greeks via jackknife
Zhang, Jinyu, (2021)
- More ...
-
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane, (2014)
-
A note to enhance the BPW model for the pricing of basket and spread options
Chang, Jui-jane, (2012)
-
Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane, (2013)
- More ...