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FS
2006
13 years 10 months ago
2006
In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equatio...
FS
2010
13 years 9 months ago
2010
Abstract Consider discrete time observations (X δ)1≤ ≤n+1 of the process X satisfying dXt = √ VtdBt, with Vt a one-dimensional positive diffusion process independent of the...
FS
2010
13 years 9 months ago
2010
Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
FS
2010
13 years 9 months ago
2010
This paper considers a general reduced form pricing model for credit derivatives where default intensities are driven by some factor process X. The process X is not directly observ...
FS
2010
13 years 9 months ago
2010
Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...