Double knock-out Asian barrier options which widen or contract as they approach maturity

Kazantzaki, Savina

[journal article]

dc.contributor.author	Kazantzaki, Savina	de
dc.date.accessioned	2011-02-23T03:49:00Z	de
dc.date.accessioned	2012-08-30T07:09:57Z
dc.date.available	2012-08-30T07:09:57Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22126
dc.description.abstract	Barrier options are considered for Asian options using a differential equation method. Solutions are obtained in the form of Fourier series for barriers which expand or contract as they approach maturity. Rigorous bounds are obtained. It is shown that by differentiating with respect to a parameter solutions for more general payoffs can be obtained.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.title	Double knock-out Asian barrier options which widen or contract as they approach maturity	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	9	de
dc.publisher.country	GBR
dc.source.issue	3	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Financial Planning, Accountancy	en
dc.subject.classoz	Finanzwirtschaft, Rechnungswesen	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-221264	de
dc.date.modified	2011-03-17T10:16:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	329-340
internal.identifier.classoz	10905
internal.identifier.classoz	1090406
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680802392470	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics
Finanzwirtschaft, Rechnungswesen
Financial Planning, Accountancy

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