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Contribution Details
| Type | Book Chapter |
| Scope | Discipline-based scholarship |
| Title | Some combinations of Asian, Parisian, and barrier options |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Booktitle | Mathematics of Derivatives Securities |
| ISBN | 9780521584241 |
| Place of Publication | Cambridge |
| Publisher | Cambridge University Press |
| Page Range | 61 - 87 |
| Date | 1997 |
| Abstract Text | This article addresses some of the valuation problems, in the Black and Scholes setting of a geometric Brownian motion for the underlying asset dynamics, for options whose pay-off is related to the terminal price of the stock and an arithmetic average of fixing and/or involves stopping times related to excursions. In all cases, we are able to provide at least the Laplace transform in time of the option price under a form whose complexity varies with the number of exotic features. We emphasize that we do not give closed form formulas for the general case, but we aim to develop a methodology which may be used in many cases. |
| Official URL | https://www.cambridge.org/ch/universitypress/subjects/mathematics/mathematical-finance/mathematics-derivative-securities |
| Other Identification Number | merlin-id:13238 |
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