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Double knock-out Asian barrier options which widen or contract as they approach maturity
[Zeitschriftenartikel]
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 s... mehr
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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Methode
Theorieanwendung
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 329-340
Zeitschriftentitel
Quantitative Finance, 9 (2009) 3
DOI
https://doi.org/10.1080/14697680802392470
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)