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Double knock-out Asian barrier options which widen or contract as they approach maturity

[journal article]

Kazantzaki, Savina

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Abstract Barrier options are considered for Asian options using a differential equation method. Solutions are obtained in the form of Fourier series for barriers which expand or contract as they approach maturity. Rigorous bounds are obtained. It is shown that by differentiating with respect to a parameter solutions for more general payoffs can be obtained.
Classification Financial Planning, Accountancy; Economic Statistics, Econometrics, Business Informatics
Method theory application
Document language English
Publication Year 2009
Page/Pages p. 329-340
Journal Quantitative Finance, 9 (2009) 3
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)