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Darya11
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Posts: 5
Joined: February 8th, 2011, 10:17 pm

Heynen Ron, Harry Kat 'Partial Barrier Options'

February 9th, 2011, 7:38 pm

Does anyone have the Heynen and Kat paper (The Journal of Financial Engineering 3, 1994) that gives analytic solutions for partial barrier options?
 
DrissBadiane
Posts: 1
Joined: August 27th, 2016, 1:01 am

Re: Heynen Ron, Harry Kat 'Partial Barrier Options'

August 27th, 2016, 10:06 pm

Hi Darya11, 

did you find that paper? I am looking for this paper and it's almost impossible to get it online. Thanks
 
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LocalVolatility
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Re: Heynen Ron, Harry Kat 'Partial Barrier Options'

August 29th, 2016, 10:26 am

Hi DrissBadiane,

please check your private messages - I just forwarded you a scan of this paper that I once made.

One more suggestion - if you are looking to price partial time barrier options within the Black and Scholes framework, then have a look at the method of images in combination with higher order binary options. See my reply in this thread for the relevant papers.

Cheers!
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