Xiao Wang
Biography
We contribute to develop a new and systematic approach to valuing barrier options of different types. In particular, we handle a fairly general case of two-sided exponential boundaries and arbitrary payoffs. The approach utilizes exponential stopping of Brownian motion, and yields simple representation formulas that show their convenience in extending to advanced variations of barrier options. We also apply our results to determining the risk-based premium of insurance guaranty fund under a practical asset-liability framework.