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Pricing multi-asset barrier options | IEEE Conference Publication | IEEE Xplore

Pricing multi-asset barrier options


Abstract:

We obtain closed-form expressions for the exact no-arbitrage prices, as well as estimates, of some types of multivariate barrier options. A novelty for the estimates is t...Show More

Abstract:

We obtain closed-form expressions for the exact no-arbitrage prices, as well as estimates, of some types of multivariate barrier options. A novelty for the estimates is that we combine ideas of convex analysis with tools of stochastic theory. The common aspect of all options herein is that the associated multivariate barriers are generated by hyperplanes placed on the collection (or vector) of stock prices, and not individually on each stock.
Date of Conference: 12-15 December 2017
Date Added to IEEE Xplore: 22 January 2018
ISBN Information:
Conference Location: Melbourne, VIC, Australia

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