SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Valuing step barrier options and their icicled variations · Study

ArticleShelves

ArticleValuing step barrier options and their icicled variations

Hangsuck Lee2018

Article2018

Valuing step barrier options and their icicled variations

Hangsuck Lee · Bangwon Ko · Seongjoo Song

20 citations·0/0 files stored·The North American Journal of Economics and Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 20 citations exist upstream.

References

1987Brownian Motion and Stochastic Flow Systems.2003Lévy Processes in Finance 1995Option pricing by Esscher transforms.1999Pricing contingent claims on stocks driven by Lévy processes 1996Actuarial bridges to dynamic hedging and option pricing 1996No-arbitrage, change of measure and conditional Esscher transforms 2000Valuing Equity-Indexed Annuities 2007Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2015Pricing annuity guarantees under a double regime-switching modelarticle · 5 shared references 2004On pricing derivatives under GARCH models: a dynamic Gerber-Shiu's approacharticle · 4 shared references 2003Pricing equity-indexed annuities with path-dependent optionsarticle · 4 shared references 2003Pricing Lookback Options and Dynamic Guaranteesarticle · 4 shared references 2012Valuing equity-linked death benefits and other contingent options: A discounted density approacharticle · 4 shared references 2013Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Modelsarticle · 4 shared references

Details

Year2018

Typearticle

Published2018-10-12

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.najef.2018.09.001

openalex_workW2897302181

Links

Imported from OpenAlex (CC0) — nothing here is generated.