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Double barrier options with curved boundaries. (English) Zbl 1035.91026
The authors derive a pair of coupled integral equations to determine the value of an option at expiry when the price at any time is known to be confined between two specified functions of time, thus generalizing the result of N. Kunitomo and M. Ikeda [Math. Finance 2, 275–298 (1992; Zbl 0900.90098)] where the specified confining functions were chosen as some exponentials in time.
MSC:
91B28 Finance etc. (MSC2000)
91B24 Microeconomic theory (price theory and economic markets)
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