Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments
Hangsuck Lee, Soohan Ahn, Bangwon Ko
| Year of publication: |
2019
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|---|---|
| Authors: | Lee, Hangsuck ; Ahn, Soohan ; Ko, Bangwon |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 50.2019, p. 1-13
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| Subject: | Autocallable structured product | Black-Scholes model | Esscher transform | Icicled barrier option | Reflection principle | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Experiment | Black-Scholes-Modell | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2019.101014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012203169