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ANALYTIC SOLUTIONS FOR AMERICAN PARTIAL BARRIER OPTIONS BY EXPONENTIAL BARRIERS
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Bae, Chulhan | - |
| dc.contributor.author | Jun, Doobae | - |
| dc.date.accessioned | 2022-12-26T18:46:37Z | - |
| dc.date.available | 2022-12-26T18:46:37Z | - |
| dc.date.issued | 2017-06 | - |
| dc.identifier.issn | 1976-8605 | - |
| dc.identifier.issn | 2288-1433 | - |
| dc.identifier.uri | https://scholarworks.gnu.ac.kr/handle/sw.gnu/13698 | - |
| dc.description.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. | - |
| dc.format.extent | 18 | - |
| dc.language | 영어 | - |
| dc.language.iso | ENG | - |
| dc.publisher | KANGWON-KYUNGKI MATHEMATICAL SOC | - |
| dc.title | ANALYTIC SOLUTIONS FOR AMERICAN PARTIAL BARRIER OPTIONS BY EXPONENTIAL BARRIERS | - |
| dc.type | Article | - |
| dc.publisher.location | 대한민국 | - |
| dc.identifier.doi | 10.11568/kjm.2017.25.2.229 | - |
| dc.identifier.wosid | 000416888000008 | - |
| dc.identifier.bibliographicCitation | KOREAN JOURNAL OF MATHEMATICS, v.25, no.2, pp 229 - 246 | - |
| dc.citation.title | KOREAN JOURNAL OF MATHEMATICS | - |
| dc.citation.volume | 25 | - |
| dc.citation.number | 2 | - |
| dc.citation.startPage | 229 | - |
| dc.citation.endPage | 246 | - |
| dc.type.docType | Article | - |
| dc.identifier.kciid | ART002235602 | - |
| dc.description.isOpenAccess | N | - |
| dc.description.journalRegisteredClass | esci | - |
| dc.description.journalRegisteredClass | kci | - |
| dc.relation.journalResearchArea | Mathematics | - |
| dc.relation.journalWebOfScienceCategory | Mathematics | - |
| dc.subject.keywordPlus | VALUING AMERICAN | - |
| dc.subject.keywordPlus | VALUATION | - |
| dc.subject.keywordAuthor | American option | - |
| dc.subject.keywordAuthor | partial barrier option | - |
| dc.subject.keywordAuthor | exponential barrier | - |
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