Time-dependent barrier option values

Journal of Futures Markets

Volumn 17, Issue 6, 1997, Pages 667-688

  Hui, Cho H ^a  

^a HONG KONG MONETARY AUTHORITY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031490846     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199709)17:6<667::AID-FUT3>3.0.CO;2-C     Document Type: Article

References (14)

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4. Churchill, R. V., and Brown, J. W. (1985): Fourier Series and Boundary Value Problem (3rd ed., International Student Edition). New York: McGraw-Hill.
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6. Garman, M. B., and Kohlhagen, S. W. (1983): "Foreign Currency Option Values, "Journal of International Money and Finance, 2:231-237.
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10. Merton, R. C. (1973): "Theory of Rational Option Pricing," Bell Journal of Economics and Management Science, 4:141-183.
11. Rich, D. R. (1994): "The Mathematical Foundations of Barrier Option-Pricing Theory," Advances in Futures and Options Research, 7:267-311.
12. Rubinstein, M., and Reiner, E. (1991 a): "Breaking Down the Barriers," Risk Magazine, 8:28-35.
13. Rubinstein, M., and Reiner, E. (1991b): "Unscrambling the Binary Code," Risk Magazine, 9:37-42.
14. Wilmott, P., Dewynne, J., and Howison, S. (1993): Option Pricing: Mathematical Models and Computation. Oxford: Oxford Financial Press.