The Mathematical Foundations of Barrier Option-Pricing Theory

By Don R. Rich. 2000

185 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/17077719a73c489082fe7ae85bfcf1da6adeab62

Citations in the corpus

• The Valuation of American Barrier Options Using the Decomposition Technique (2000, unknown): “…o(S0;K; r; ) (H=S0)2 (r; ) 2co(H2=S0;K; r; ) (42) C p do (S0;K;H; r; ) =Z T 0 e rt n S0 h N(d1(S0; Bt; t; r; )) (H=S0)2 (r; )N(d1(H2=S0; Bt; t; r; )) i rK h N(d2(S0; Bt; t; r; )) (H=S0)2 (r; ) 2N(d2(H2=S0; Bt; t; r; )) io dt: (43) 28See Rich (1994) for expressions for the option prices cdo and puo.”