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${}$ In finance, barrier options are options contracts with a payoff that depends on whether the price of the underlying asset hits a predetermined barrier level during the option's lifetime. Based on exotic options and random fluctuations of interest rates in the marketplace, we consider discount barrier options with a stochastic interest rate driven by the Hull-White process. This paper derives the closed-form solutions of the discount barrier option and the discount double barrier option using Mellin transform methods and the PDE (partial differential equation) method of images.
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참고문헌 (15)
참고문헌 신청
K. I. Amin / 1991 / Pricing foreign currency options under stochastic interest rates / J. Int. Money Finance 10:310~329
C. Bernard / 2008 / Pricing derivatives with barriers in a stochastic interest rate environment / J. Econom. Dynam. Control 32(9):2903~2938
P. Buchen / 2001 / Image options and the road to barriers / Risk Magazine 14(9):127~130
P. Buchen / 2009 / A new approach to pricing double-Barrier options with arbitrary payoffs and exponential boundaries / Appl. Math. Finance 16(6):497~515
J. P. Fouque / 2003 / Multiscale stochastic volatility asymptotics / Multiscale Model. Simul. 2(1):22~42
C. Bernard / 2008 / Pricing derivatives with barriers in a stochastic interest rate environment / J. Econom. Dynam. Control 32(9):2903~2938
P. Buchen / 2001 / Image options and the road to barriers / Risk Magazine 14(9):127~130
P. Buchen / 2009 / A new approach to pricing double-Barrier options with arbitrary payoffs and exponential boundaries / Appl. Math. Finance 16(6):497~515
J. P. Fouque / 2003 / Multiscale stochastic volatility asymptotics / Multiscale Model. Simul. 2(1):22~42
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