Commun. Korean Math. Soc. 2018; 33(1): 345-360
Online first article September 11, 2017 Printed January 31, 2018
https://doi.org/10.4134/CKMS.c170060
Copyright © The Korean Mathematical Society.
Junkee Jeon, Ji-Hun Yoon
Seoul National University, Pusan National University
${}$ 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.
Keywords: discount barrier options, discount double barrier options, Mellin transform, method of images
MSC numbers: 60H30
2021; 36(4): 705-714
2019; 34(2): 507-522
2018; 33(2): 619-630
2018; 33(2): 549-560
© 2022. The Korean Mathematical Society. Powered by INFOrang Co., Ltd