Valuation formulae for window barrier options
AbstractIn this paper we study window barrier options, where a single constant continuously-monitored barrier prevails for a period that commences strictly after the start date of the option and terminates strictly before expiry. We determine valuation formulae within a limited deterministic term-structure in terms of trivariate normal distribution functions. These formulae offer a generalization of the valuation formulae for partial barrier options given by Heynan and Kat.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 8 (2001)
Issue (Month): 4 ()
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- P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor and Francis Journals, vol. 2(3), pages 173-209.
- Tristan Guillaume, 2001. "valuation of options on joint minima and maxima," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(4), pages 209-233.
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- Yuji Hishida & Kenji Yasutomi, 2009. "Asymptotic behavior of prices of path dependent options," Papers 0911.5579, arXiv.org.
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