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Pricing power double exponential barriers chained option. (Chinese. English summary) Zbl 1349.91281

Summary: This article considers a complete continuous market model, in which the underlying asset price follows a geometric Brownian motion. Using Girsanov theorem, reflection principle and other methods, an exact pricing formula for the double exponential barrier chained power option is given.

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
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