A JOINT DISTRIBUTION OF TWO-DIMENSIONAL BROWNIAN MOTION WITH AN APPLICATION TO AN OUTSIDE BARRIER OPTION |
Lee, Hang-Suck (Department of Statistics, Soongsil University) |
1 |
Computation of the bivariate normal integral
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DOI ScienceOn |
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3 |
Hedging lookback and partial lookback options using Malliavin calculus
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DOI ScienceOn |
4 |
Computation of the trivariate normal interal
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DOI ScienceOn |
5 |
Actuarial bridges to dynamic hedging and option pricing
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DOI ScienceOn |
6 |
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7 |
Pricing equity-indexed annuities embedded with exotic options
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8 |
Time and path dependent options : The case of time dependent inside and outside barrier options
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Discussion of valuing equity-indexed annuities
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10 |
Discussion of valuing equity-indexed annuities
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DOI |
11 |
Crossing barriers
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12 |
Breaking down the barrier
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13 |
The theory of rational option pricing
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DOI ScienceOn |
14 |
Partial barrier options
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15 |
Pricing equity-indexed annuities with path-dependent options
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DOI ScienceOn |
16 |
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17 |
Option pricing by Esscher tracsoforms (with discussion)
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18 |
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