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ANALYTIC SOLUTIONS FOR AMERICAN PARTIAL BARRIER OPTIONS BY EXPONENTIAL BARRIERS
- Authors
- Bae, Chulhan; Jun, Doobae
- Issue Date
- Jun-2017
- Publisher
- KANGWON-KYUNGKI MATHEMATICAL SOC
- Keywords
- American option; partial barrier option; exponential barrier
- Citation
- KOREAN JOURNAL OF MATHEMATICS, v.25, no.2, pp 229 - 246
- Pages
- 18
- Indexed
- ESCI
KCI
- Journal Title
- KOREAN JOURNAL OF MATHEMATICS
- Volume
- 25
- Number
- 2
- Start Page
- 229
- End Page
- 246
- ISSN
- 1976-8605
2288-1433
- Abstract
- This paper concerns barrier option of American type where the underlying price is monitored during only part of the option's life. Analytic valuation formulas of the American partial barrier options are obtained by approximation method. This approximation method is based on barrier options along with exponential early exercise policies. This result is an extension of Jun and [10] where the exercise policies are constant.
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