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Pricing two-asset alternating barrier options with icicles and their variations
Lee, Hangsuck; Kim, Eunchae;
Song, Seongjoo
Article
Issue Date
2020
Citation
JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.49, no.2, pp.626 - 672
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SPRINGER HEIDELBERG
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Kim, Eunchae
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Lee, Hangsuck
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Alternating barrier option
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Brownian motion
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Equity-linked products
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Esscher transform
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Factorization formula
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Icicled barrier option
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2020
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