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Algorithms for Barrier Options
2002We consider barrier options that knock out the first time the price S t of the underlying asset crosses a predetermined knock-out barrier b. This is one flavor of barrier options; a timing feature is added in [29], where options loose a fraction of their value for every day they spend above (or below) b.
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Multi-Asset Barrier Options Pricing by Collocation BEM (with Matlab® Code)
Axioms, 2021A Aimi, C Guardasoni
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Outside barrier lookback options with floating strike
Journal of the Korean Statistical Society, 2021Gaeun Lee, Hangsuck Lee, Yang Ho Choi
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An explicit finite difference approach to the pricing of barrier options
Applied Mathematical Finance, 1998Phelim P Boyle
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A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
Applied Mathematical Finance, 2009Otto Konstandatos
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Barrier options and touch-and-out options under regular Lévy processes of exponential type
Annals of Applied Probability, 2002Svetlana Boyarchenko +1 more
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