Scholarlink

<p>This article provides exact valuation formulae for barrier options with a stochastic, outside and window barrier, in a model allowing for stochastic interest rate and jumps in the underlying asset. The case of a best-of option with the same barrier and model specifications is also covered. Formulae in the classical, more restrictive Black–Scholes environment are derived too. These analytical results are numerically implemented and the obtained values are compared with Monte Carlo approximations.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Analytical valuation of a general form of barrier option with stochastic interest rate and jumps

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2025年6月12日

查看全文
  • Tristan Guillaume

摘要

This article provides exact valuation formulae for barrier options with a stochastic, outside and window barrier, in a model allowing for stochastic interest rate and jumps in the underlying asset. The case of a best-of option with the same barrier and model specifications is also covered. Formulae in the classical, more restrictive Black–Scholes environment are derived too. These analytical results are numerically implemented and the obtained values are compared with Monte Carlo approximations.