Pricing complex barrier options under general diffusion processes

Journal of Derivatives

Volumn 7, Issue 2, 1999, Pages 11-30

  Tian, Yisong ^a  

^a YORK UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 15444370258     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1999.319144     Document Type: Article

References (26)

1. Ahn, Dong-Hyun, Stephen Figlewski, and Bin Gao. "Pricing Discrete Barrier Options with an Adaptive Mesh Model." Journal of Derivatives, Vol. 7 (Summer 1999), pp. 33-43.
2. Black, Fischer, and Piotr Karasinski. "Bond and Option Pricing when Short Rates are Lognormal." Financial Analysts Journal, Vol. 47, No. 4 (July/August 1991), pp. 52-59.
3. Black, Fischer, and Myron Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, Vol. 81 (1973), pp. 637-659.
4. Boyle, Phelim P. "A Lattice Framework for Option Pricing with Two State Variables." Journal of Financial and Quantitative Analysis, Vol. 35 (1988), pp. 1-12.
5. Boyle, Phelim P. "Option Pricing Using a Three-Jump Process." International Options Journal, Vol. 3 (1986), pp. 7-12.
6. Boyle, Phelim P., and Sok Hoon Lau. "Bumping Up Against the Barrier with the Binomial Method." Journal of Derivatives, Vol. 1 (1994), pp. 6-14.
7. Boyle, Phelim P., and Yisong S. Tian. "An Explicit Finite-Difference Approach to the Pricing of Barrier Options." Applied Mathematical Finance, Vol. 5 (1998), pp. 17-43.
8. Cheuk, Terry H.F., and Ton C.F. Vorst. "Complex Barrier Options." Journal of Derivatives, Vol. 4 (1996), pp. 8-22.
9. Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross. "A Theory of the Term Structure of Interest Rates." Econometrica, Vol. 53 (1985), pp. 363-384.
10. Derman, Emanuel, and Iraj Kani. "The Ins and Outs of Barrier Options." Goldman Sachs, Quantitative Strategies Research Notes, June 1993.
11. Derman, Emanuel, Iraj Kani, Deniz Ergener, and Indrajit Bardhan. "Enhanced Numerical Methods for Options with Barriers." Financial Analysts Journal, Vol. 51, No. 6 (1995), pp. 65-74.
12. Figlewski, Stephen, and Bin Gao. "The Adaptive Mesh Model: A New Approach to Efficient Option Pricing." Journal of Financial Economics, forthcoming, 1999.
13. Heynen, Ronald C., and Harry M. Kat. "Crossing Barriers." Risk, June 1994a, pp. 46-51.
14. Heynen, Ronald C. "Partial Barrier Options." Journal of Financial Engineering, Vol. 3 (1994b), pp. 253-274.
15. Heynen, Ronald C. "Selective Memory." Risk, November 1994c, pp. 73-76.
16. Hull, John C., and Alan White. "Valuing Derivative Securities Using the Explicit Finite Difference Method." Journal of Financial and Quantitative Analysis, Vol. 25 (1990), pp. 87-100.
17. Kamrad, B., and Peter Ritchken. "Multinomial Approximating Models for Options with k-State Variables." Management Science, Vol. 37 (1991), pp. 1640-1652.
18. Kunitomo, Naoto, and Masayuki Ikeda. "Pricing Options with Curved Boundaries." Mathematical Finance, Vol. 2 (1992), pp. 275-298.
19. Merton, Robert C. "The Theory of Rational Option Pricing." Bell Journal of Economics and Management Science, Vol. 4 (1973), pp. 141-183.
20. Nelson, Daniel B., and Krishna Ramaswamy. "Simple Binomial Processes as Diffusion Approximations in Financial Models." Review of Financial Studies, Vol. 3 (1990), pp. 393-430.
21. Rich, Don R. "The Mathematical Foundations of Barrier Options." Advances in Futures and Options Research, Vol. 7 (1994), pp. 267-311.
22. Ritchken, Peter. "On Pricing Barrier Options." Journal of Derivatives, Vol. 3 (1995), pp. 19-28.
23. Roberts, G.O., and C.F. Shortland. "Pricing Barrier Options with Time-Dependent Coefficients." Mathematical Finance, Vol. 7 (1997), pp. 83-93.
24. Rubinstein, Mark, and Eric S. Reiner. "Breaking Down the Barriers." Risk, Vol. 4, No. 8 (1991), pp. 28-35.
25. Tian, Yisong. "A Re-Examination of Lattice Procedures for Interest Rate-Contingent Claims." Advances in Futures and Options Research, Vol. 7 (1994), pp. 87-111.
26. Tian, Yisong. "A Simplified Binomial Approach to the Pricing of Interest Rate Contingent Claims." Journal of Financial Engineering, Vol. 1 (1992), pp. 14-37.