ON PRICING OF DISCRETE BARRIER OPTIONS

By Steven Kou. 2003

75 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4bce2cf0acf0724640e199682c7adf026dc8da70

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. M. Steinberg
2. Sam D. Howison
3. Fang Fang
4. Robert J. R. Elliott
5. Gabriel G. Drimus

Citations in the corpus

• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008, unknown): “…analytical formula for the barrier adjustment to be implemented in the continuous barrier option formula to correct for discrete observations and approximate the discrete barrier option with the continuous one with an appropriately adjusted barrier (see also Kou 2003; Howison and Steinberg 2007).”
• A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (2007, result): “Further extensions to other barrier contracts, including double barrier contracts, are described by [11, 7]; the former shows that the BGK correction can be applied to all 8 combinations of call/put, up/down, in/out contracts, while the latter confirms these results and extends them to double barrie”