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- W2301072834 abstract "In this paper, we study pricing of American chained knock-in option. Chained barrier option is a new type of barrier option with two barrier levels. A knock-in American chained barrier option under a trigger clause is an option contract in which the option holder receives an American knock-in option conditional on the underlying asset price breaching a specified barrier level. We derive analytic valuation formulas for knock-in American chained options under the Black–Scholes pricing framework by using reflection principle and formulas for knock-in American options. Furthermore, we present some numerical solutions and plots of the value of knock-in American chained options." @default.
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- W2301072834 date "2016-05-01" @default.
- W2301072834 modified "2023-10-12" @default.
- W2301072834 title "Closed form valuation of American chained knock-in options" @default.
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- W2301072834 doi "https://doi.org/10.1016/j.frl.2016.03.003" @default.
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