Digital barrier option contract with exponential random time

被引：3

作者：

Jun, Doobae ^{[1
]}

Ku, Hyejin ^{[1
]}

机构：

[1] York Univ, Dept Math & Stat, Toronto, ON M3J 2R7, Canada

来源：

IMA JOURNAL OF APPLIED MATHEMATICS | 2013年 / 78卷 / 06期

基金：

加拿大自然科学与工程研究理事会;

关键词：

digital barrier option; exponential time;

D O I：

10.1093/imamat/hxs013

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we derive a closed-form valuation formula for a digital barrier option which is initiated at random time tau with exponential distribution. We also provide a simple example and graphs to illustrate our result.

引用

页码：1147 / 1155

页数：9

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