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http://dx.doi.org/10.11568/kjm.2017.25.2.229

ANALYTIC SOLUTIONS FOR AMERICAN PARTIAL BARRIER OPTIONS BY EXPONENTIAL BARRIERS  

Bae, Chulhan (NICE P&I Inc)
Jun, Doobae (Department of Mathematics and Research Institute of Natural Science Gyeongsang National University)
Publication Information
Korean Journal of Mathematics / v.25, no.2, 2017 , pp. 229-246 More about this Journal
Abstract
This paper concerns barrier option of American type where the underlying price is monitored during only part of the option's life. Analytic valuation formulas of the American partial barrier options are obtained by approximation method. This approximation method is based on barrier options along with exponential early exercise policies. This result is an extension of Jun and Ku [10] where the exercise policies are constant.
Keywords
American option; partial barrier option; exponential barrier;
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