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ANALYTIC SOLUTIONS FOR AMERICAN PARTIAL BARRIER OPTIONS BY EXPONENTIAL BARRIERS
- Bae, Chulhan;
- Jun, Doobae
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0초록
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.
키워드
American option; partial barrier option; exponential barrier; VALUING AMERICAN; VALUATION
- 제목
- ANALYTIC SOLUTIONS FOR AMERICAN PARTIAL BARRIER OPTIONS BY EXPONENTIAL BARRIERS
- 저자
- Bae, Chulhan; Jun, Doobae
- 발행일
- 2017-06
- 유형
- Article
- 저널명
- 한국수학논문집
- 권
- 25
- 호
- 2
- 페이지
- 229 ~ 246