Complex barrier options

Journal of Derivatives

Volumn 4, Issue 1, 1996, Pages 8-22

  Cheuk, Terry H F ^a   Vorst, Ton C F ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002486413     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1996.407958     Document Type: Article

References (11)

1. Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81(1973), pp. 637-654.
2. Boyle, P. P. "A Lattice Framework for Option Pricing with Two State Variables." Journal of Financial and Quantitative Analysis, 23(1988), pp. 1-12.
3. Boyle, P. P., and S. H. Lau. "Bumping Up Against the Barrier with the Binomial Method." Journal of Derivatives, Summer 1994, pp. 6-14.
4. Cheuk, T. H. F., and T. C. F. Vorst. "Breaking Down Barriers." Risk, April 1996, pp. 64-67.
5. Heynen, R., and H. Kat. "Crossing Barriers." Risk, June 1994, pp. 46-51.
6. Hull, J., and A. White. "Numerical Procedures for Implementing Term Structure Models II: Two-Factor Models." Journal of Derivatives, Winter 1994, pp. 37-48.
7. Merton, R. C. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science, 4(1973), pp. 141-183.
8. Omberg, E. "Efficient Discrete Time Jump Process Models in Option Pricing." Journal of Financial and Quantitative Analysis, 23(1988), pp. 161-174.
9. Pelsser, A., and T. C. F. Vorst. "The Binomial Model and the Greeks." Journal of Derivatives, Spring 1994, pp. 45-49.
10. Ritchken, P. "On Pricing Barrier Options." Journal of Derivatives, Winter 1995, pp. 19-28.
11. Tian, Y. "A Modified Lattice Approach to Option Pricing." Journal of Futures Markets, 13(1993), pp. 563-577.