Barrier options
Credit barrier models
Claudio Albanese, Giuseppe Campolieti, Oliver Chen and Andrei Zavidonov construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads
Capturing the smile
Since the discovery that traditional calibration methods fail to capture the dynamics of the smile, new approaches based on mixtures or ensembles of models have been developed. Simon Johnson and Han Lee present a variant of this approach that can be used…
Exotic spectra
Eigenfunction expansions can also be applied to finance. The method is particularly suited to barrier and Asian options, with convergence properties that compare favourably with Monte Carlo.
Black-Scholes goes hypergeometric
Option pricing models
Behind the mirror
Barrier options
Image options and the road to barriers
Barrier options
Static barriers
Exotic options