Pricing lookback and barrier options under the CEV process

Journal of Financial and Quantitative Analysis

Volumn 34, Issue 2, 1999, Pages 241-264

  Boyle, Phelim P ^a   Tian, Yisong ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b UNIVERSITY OF CINCINNATI   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033421632     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2676280     Document Type: Article

References (24)

1. Andersen, L., and J. Andreasen. "Volatility Skews and Extensions of the Libor Market Model." Working Paper, General Re Financial Products (1998).
2. Babbs, S. "Binomial Valuation of Lookback Options." Working Paper, Midland Global Markets (1992).
3. Black, F., and M. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (1973), 637-659.
4. Boyle, P. P. "Option Valuation Using a Three-Jump Process." International Options Journal, 3 (1986), 7-12.
5. _. "A Lattice Framework for Option Pricing with Two State Variables." Journal of Financial and Quantitative Analysis, 35 (1988), 1-12.
6. Boyle, P. P., and S. H. Lau. "Bumping Up against the Barrier with the Binomial Method." Journal of Derivatives, 2 (1994), 6-14.
7. Cheuk, T. H. F., and T. C. F. Vorst. "Real-Life Barrier Options." Unpubl. Manuscript, Erasmus Univ., Rotterdam, the Netherlands (1994a).
8. _. "Lookback Options and the Observation Frequency: A Binomial Approach." Unpubl. Manuscript, Erasmus Univ., Rotterdam, the Netherlands (1994b).
9. _. "Complex Barrier Options." Journal of Derivatives, 4 (1996), 8-22.
10. Cox, J. C. "Notes on Option Pricing I: Constant Elasticity of Variance Diffusions." Unpubl. Note, Stanford Univ. (1975).
11. _. "The Constant Elasticity of Variance Option Pricing Model." Journal of Portfolio Management, 22 (1996, special issue honoring Fischer Black), 15-17.
12. Cox, J. C., and S. A. Ross. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics, 3 (1976), 145-166.
13. Cox, J. C.; S. A. Ross; and M. Rubinstein. "Option Pricing: A Simplified Approach." Journal of Financial Economics, 7 (1979), 229-264.
14. Derman, E.; I. Kani; D. Ergener; and I. Bardhan. "Enhanced Numerical Methods for Options with Barriers." Financial Analysts Journal, 51 (1995), 65-74.
15. Duffie, D. Dynamic Asset Pricing Theory. Princeton, NJ: Princeton Univ. Press (1996).
16. Hull, J. C., and A. White. "Efficient Procedures for Valuing European and American Path-Dependent Options." Journal of Derivatives, 1 (1993), 21-31.
17. Kamrad, B., and P. Ritchken. "Multinomial Approximating Models for Options with k-State Variables." Management Science, 37 (1991), 1640-1652.
18. Karatzas, I., and S. Shreve. Brownian Motion and Stochastic Calculus. New York, NY: Springer-Verlag (1994).
19. Li, A. "Using Stock Price as Numeraire in Option Pricing Models with Nonconstant Volatility." Advances in Futures and Options Research, 9 (1997), 37-49.
20. MacBeth, J. D., and L. J. Merville. "Tests of the Black-Scholes and Cox Call Option Valuation Model's." Journal of Finance, 35 (1980), 285-301.
21. Merton, R. C. "The Theory of Rational Option Pricing." Bell Journal of Economics and Management Science, 4 (1973), 141-183.
22. Ritchken, P. "On Pricing Barrier Options." Journal of Derivatives, 3 (1995), 19-28.
23. Tian, Y. "A Modified Lattice Approach to Option Pricing." Journal of Futures Markets, 13 (1993), 563-577.
24. _. "A Re-Examination of Lattice Procedures for Interest Rate-Contingent Claims." Advances in Futures and Options Research, 1 (1994), 87-111.