Barrier options in three dimensions
by Marcos Escobar; Sebastian Ferrando; Xianzhang Wen
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 3, No. 3, 2014

Abstract: The paper provides closed-form expressions for the price of several barrier type derivatives with a three-dimensional geometric Wiener process as underlying. These solutions are found for special correlation matrices and are given by linear combinations of three-dimensional Gaussian cumulative distributions. The method of images is used as a key technique to establish the solutions. Two cases are described extending the results to a wider set of correlation matrices, one case deals with random variances and the other case with random correlations.

Online publication date: Mon, 30-Jun-2014

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Financial Markets and Derivatives (IJFMD):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com