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Analytical valuation of a general form of barrier option with stochastic interest rate and jumps

Tristan Guillaume

Review of Derivatives Research2025https://doi.org/10.1007/s11147-025-09215-6article
AJG 2ABDC B
Weight
0.41

What the paper says

Abstract This article provides exact valuation formulae for barrier options with a stochastic, outside and window barrier, in a model allowing for stochastic interest rate and jumps in the underlying asset. The case of a best-of option with the same barrier and model specifications is also covered. Formulae in the classical, more restrictive Black–Scholes environment are derived too. These analytical results are numerically implemented and the obtained values are compared with Monte Carlo approximations.

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https://doi.org/https://doi.org/10.1007/s11147-025-09215-6

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@article{tristan2025,
  title        = {{Analytical valuation of a general form of barrier option with stochastic interest rate and jumps}},
  author       = {Tristan Guillaume},
  journal      = {Review of Derivatives Research},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s11147-025-09215-6},
}

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Analytical valuation of a general form of barrier option with stochastic interest rate and jumps

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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