The Valuation of American Barrier Options Using the Decomposition Technique

By B. Gao, Jing-Zhi Huang, Marti G. Subrahmanyam. 2000

103 citations recorded by the source corpus.

Subfields: Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/8dec5ba1fceb9289ac9ef0ce6cf9da572c4079d8

How researchers see this paper

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

In Finance

1. Diego García
2. Paresh Kumar Narayan
3. D. Bannigidadmath

In Numerical Analysis

1. Diego García

Citations in the corpus

• Option Pricing: Valuation Models and Applications (2004, unknown): “American barrier options are priced by Rubinstein and Reiner (1991) in the binomial model and Gao et al. (2000) in the BSM setting.”
• Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule (2003, methodology): “, θT ), which gives for each date the (13)The only exception may be Bermudan standard options, for which Geske and Johnson (1984) give analytical formulas based on the cumulative distributions of Gaussian random variables.”
• Laplace transforms and American options (2000, background): “P(0, t) ˆ Ee P(S, t) ! 0 as S ! 1: (1:5) Merton (1974) remarked on the fact that it is the boundary and initial conditions which differentiate securities, and from the above, we can see that it is indeed the boundary conditions and pay-off that differentiate the put and the call. These boundary cond”