Two extensions to barrier option valuation
AbstractWe first present a brief but essentially complete survey of the literature on barrier option pricing. We then present two extensions of European up-and-out call option valuation. The first allows for an initial protection period during which the option cannot be knocked out. The second considers an option which is only knocked out if a second asset touches an upper barrier. Closed form solutions, detailed derivations, and the economic rationale for both types of options are provided.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 2 (1995)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAMF20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jokivuolle, Esa & Keppo, Jussi, 2014. "Bankers' compensation: Sprint swimming in short bonus pools?," Research Discussion Papers 2/2014, Bank of Finland.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Octomber.
- Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October.
- Ballestra, Luca Vincenzo & Pacelli, Graziella & Zirilli, Francesco, 2007. "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3420-3437, November.
- Dietmar P.J. Leisen, 1999. "Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk," Discussion Paper Serie B 446, University of Bonn, Germany.
- repec:hal:wpaper:hal-00820929 is not listed on IDEAS
- Jan Ericsson & Joel Reneby, 2003.
"Stock options as barrier contingent claims,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 10(2), pages 121-147.
- Grant Armstrong, 2001. "Valuation formulae for window barrier options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 197-208.
- Norland, Erik & Wilford, D. Sykes, 2002. "Leverage, liquidity, volatility, time horizon, and the risk of ruin: A barrier option approach," Review of Financial Economics, Elsevier, vol. 11(3), pages 225-239.
- Hans-Peter Bermin, 2000. "Hedging lookback and partial lookback options using Malliavin calculus," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 75-100.
- Tristan Guillaume, 2001. "valuation of options on joint minima and maxima," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 209-233.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.