Download full text
(418.8Kb)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221264
Exports for your reference manager
Double knock-out Asian barrier options which widen or contract as they approach maturity
[journal article]
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... view more
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.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Financial Planning, Accountancy
Method
theory application
Document language
English
Publication Year
2009
Page/Pages
p. 329-340
Journal
Quantitative Finance, 9 (2009) 3
DOI
https://doi.org/10.1080/14697680802392470
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)