Multi‐step reflection principle and barrier options

Journal of Futures Markets ◽

10.1002/fut.22306 ◽

2022 ◽

Author(s):

Hangsuck Lee ◽

Gaeun Lee ◽

Seongjoo Song

Keyword(s):

Reflection Principle ◽

Barrier Options

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Generalizing the reflection principle of Brownian motion, and closed-form pricing of barrier options and autocallable investments

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2019.101014 ◽

2019 ◽

Vol 50 ◽

pp. 101014 ◽

Author(s):

Hangsuck Lee ◽

Soohan Ahn ◽

Bangwon Ko

Keyword(s):

Brownian Motion ◽

Closed Form ◽

Reflection Principle ◽

Barrier Options

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Barrier Options and a Reflection Principle of the Fractional Brownian Motion

SSRN Electronic Journal ◽

10.2139/ssrn.1286834 ◽

2003 ◽

Author(s):

Ciprian Necula

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Reflection Principle ◽

Barrier Options

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Discrete Asian barrier options

The Journal of Computational Finance ◽

10.21314/jcf.1999.036 ◽

1999 ◽

Vol 3 (1) ◽

pp. 41-67 ◽

Author(s):

R Zvan ◽

P Forsyth ◽

K Vetzal

Keyword(s):

Barrier Options

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The Hedging Costs of Discrete Monitoring of FX Barrier Options

SSRN Electronic Journal ◽

10.2139/ssrn.1335302 ◽

2009 ◽

Author(s):

Antonio Castagna

Keyword(s):

Barrier Options ◽

Discrete Monitoring

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Accurate Pricing of Continuous Barrier Options with Local Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1852086 ◽

2011 ◽

Author(s):

Messaoud Chibane

Keyword(s):

Barrier Options ◽

Local Volatility

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Static Replication of Barrier Options: Some General Results

SSRN Electronic Journal ◽

10.2139/ssrn.220010 ◽

2000 ◽

Author(s):

Leif B.G. Andersen ◽

Jesper Andreasen ◽

David A. Eliezer

Keyword(s):

Barrier Options

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Barrier Options Under Negative Rates in Black-Scholes

SSRN Electronic Journal ◽

10.2139/ssrn.2501907 ◽

2014 ◽

Author(s):

Fabien Le Floc'h ◽

Alexander Prrll

Keyword(s):

Barrier Options ◽

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Ultra-Fast Pricing Barrier Options and CDSs

SSRN Electronic Journal ◽

10.2139/ssrn.2713497 ◽

2016 ◽

Author(s):

Sergei Levendorskii

Keyword(s):

Barrier Options

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A computational weighted finite difference method for American and barrier options in subdiffusive Black–Scholes model

Communications in Nonlinear Science and Numerical Simulation ◽

10.1016/j.cnsns.2020.105676 ◽

2021 ◽

Vol 96 ◽

pp. 105676

Author(s):

Grzegorz Krzyżanowski ◽

Marcin Magdziarz

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Barrier Options ◽

Black Scholes Model ◽

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Closed form valuation of barrier options with stochastic barriers

Annals of Operations Research ◽

10.1007/s10479-020-03860-w ◽

2021 ◽

Author(s):

Tristan Guillaume

Keyword(s):

Closed Form ◽

Barrier Options

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