Volume 7, Issue 2, March 2019, Page: 40-48
Mapping of Barrier Option Pricing: A Co-citation Analysis
Wei Zhou, School of Finance, Yunnan University of Finance and Economics, Kunming, PR China
Sitong Yang, School of Finance, Yunnan University of Finance and Economics, Kunming, PR China
Received: Mar. 19, 2019;       Published: May 23, 2019
DOI: 10.11648/j.jfa.20190702.12      View  38      Downloads  21
Barrier options refer to the options that are limited in the process of their entry into force. Its purpose is to control the investors' gains or losses within a certain range. Barrier options are a special form of options. Their emergence provides a more effective way for risk managers. In recent years, barrier options have developed rapidly in the financial market. Compared with ordinary options, their trading methods are more flexible, their returns are in line with investors' wishes, and their trading prices are cheaper. They are popular with investors. Therefore, how to price barrier options has become an important research hotspot in the financial field. There is a very obvious phenomenon that the publications about barrier option pricing increasing year by year. Based on the literature data retrieved from Web of Science, this paper adopts the scientometrics analysis method to make a literature review on the pricing of barrier options, an analysis of current research situation, a co-citation analysis of literature, new trends and developments in the research field, and an analysis of sudden detection in the research field. It is concluded that “Business Finance” is the most popular subject in the field of barrier option pricing, and “Quantitative Finance” is the most frequently published journal. Among many countries in the world, USA has the largest number of publications in this field. In the field of barrier option pricing, “China University of Hong Kong” has the largest number of publications, and “general valuation framework”, “flexible binomial option pricing model”, “model uncertainty”, “evy processes”, “early exercise boundary”, “model” are the main research fields of barrier option pricing. Math Finance and Merton RC are the most influential journals and authors in the field of barrier option pricing. On the whole, the research method in this paper provided a fresh research approach to assess the performance of barrier option pricing research. The findings may help for the new researchers to pick out the most relevant articles, journals, institutions and seize the research frontier in barrier option pricing field.
Barrier Options, Option Pricing, Co-citation Analysis, Web of Science
To cite this article
Wei Zhou, Sitong Yang, Mapping of Barrier Option Pricing: A Co-citation Analysis, Journal of Finance and Accounting. Vol. 7, No. 2, 2019, pp. 40-48. doi: 10.11648/j.jfa.20190702.12
Jun D, Ku H. Pricing chained Options With Curved Barriers. Mathematical Finance 2013; 23: 763-776.
Barone-Adesi G, Fusari N, Theal J. Barrier Option Pricing Using Adjusted Transition Probabilities. JOURNAL OF DERIVATIVES 2008; 16: 36-53.
Horfelt P. Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou. FINANCE AND STOCHASTICS 2003; 7: 231-243.
Broadie M, Glasserman P, Kou S. A continuity correction for discrete barrier options. MATHEMATICAL FINANCE 1997; 7: 325-349.
Roberts GO, Shortland CF. Pricing barrier options with time-dependent coefficients. MATHEMATICAL FINANCE 1997; 7: 83-93.
Chen C, Dubin R, Kim MC. Emerging trends and new developments in regenerative medicine: a scientometric update (2000–2014). Expert Opin Biol Ther 2014; 14: 1295–317.
Chen C, Dubin R, Kim MC. Orphan drugs and rare diseases: a scientometric review (2000–2014). Expert Opin Orphan Drugs 2014; 2: 709–24.
Glanz K, Sallis JF, Saelens BE, Frank LD. Nutrition environment measures survey in stores (NEMS-S) - Development and evaluation. American Journal of Preventive Medicine 2007; 32: 282-289.
Smith Pete, Martino Daniel, Cai Zucong, Gwary Daniel. Policy and technological constraints to implementation of greenhouse gas mitigation options in agriculture. Agriculture Ecosystems & Environment 2007; 118: 6-28.
Kou SG, Wang H. Option pricing under a double exponential jump diffusion model. Management Science 2004; 50: 1178-1192.
Mueller-Langer F, Tzimas E, Kaltschmitt M, Peteves S. Techno-economic assessment of hydrogen production processes for the hydrogen economy for the short and medium term. International Journal of Hydrogen Energy 2007; 32: 3797-3810.
Butler Lucy, Neuhoff Karsten. Comparison of feed-in tariff, quota and auction mechanisms to support wind pthr development. Renewable Energy 2008; 33: 1854-1867.
Kou SG, Wang H. First passage times of a jump diffusion process. Advances in applied probability 2003; 35: 504-531.
Davydov D, Linetsky V. Pricing and hedging path-dependent options under the CEV process. Management Science 2001; 7: 949-965.
Cont R, Voltchkova E. A finite difference scheme for option pricing in jump diffusion and exponential Levy models. Siam Journal on Numerical Analysis 2005; 43: 1596-1626.
Rao Mayure, Afshin Ashkan, Singh Gitanjali, Mozaffarian Dariush. Do healthier foods and diet patterns cost more than less healthy options? A systematic review and meta-analysis. Bmj Open 2013; 3: e004277.
Saelens Brian E, Glanz Karen, Sallis James F, Frank Lawrence D. Nutrition environment measures study in restaurants (NEMS-R) - Development and evaluation. American Journal of Preventive Medicine 2007; 32: 273-281.
Browse journals by subject