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Pricing Parisian and Parasian options analytically

Zhu, Song-ping; Chen, Wen-ting - In: Journal of economic dynamics & control 37 (2013) 4, pp. 875-896

Persistent link: https://www.econbiz.de/10009726170

Jumps in commodity prices : new approaches for pricing plain vanilla options

Crosby, John; Frau, Carme - In: Energy economics 114 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013477538

Analytically pricing exchange options with stochastic liquidity and regime switching

He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 5, pp. 662-676

Persistent link: https://www.econbiz.de/10014293179

The time of deducting fees for variable annuities under the state-dependent fee structure

Zhou, Jiang; Wu, Lan - In: Insurance / Mathematics & economics 61 (2015), pp. 125-134

Persistent link: https://www.econbiz.de/10010515907

Pricing double barrier options : an analytical approach

Pelsser, Antoon André Jean - 1997

Double barrier options have become popular instruments in derivative markets. Several papers_new have already analyseddouble knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) deriveexpressions for the Laplace transform of the double barrrier option...

Persistent link: https://www.econbiz.de/10010232861

Pricing external barrier options in a regime-switching model

Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143

Persistent link: https://www.econbiz.de/10011526900

The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing

Dassios, Angelos; Zhang, You You - In: Finance and stochastics 20 (2016) 3, pp. 773-804

Persistent link: https://www.econbiz.de/10011531449

Occupation times of Lévy processes

Wu, Lan; Zhang, Xiao - In: International journal of financial engineering 8 (2021) 3, pp. 1-10

Persistent link: https://www.econbiz.de/10012655022

The likelihood of mixed hitting times

Abbring, Jaap H.; Salimans, Tim - In: Journal of econometrics 223 (2021) 2, pp. 361-375

Persistent link: https://www.econbiz.de/10012619975

Pricing discrete path-dependent options under a double exponential jump-diffusion model

Fuh, Cheng-der; Luo, Sheng-feng; Yen, Ju-fang - In: Journal of banking & finance 37 (2013) 8, pp. 2702-2713

Persistent link: https://www.econbiz.de/10009776395