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Valuation formulae for window barrier options

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  • Grant Armstrong
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    Abstract

    In 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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    File URL: http://www.tandfonline.com/doi/abs/10.1080/13504860210124607
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

    Volume (Year): 8 (2001)
    Issue (Month): 4 ()
    Pages: 197-208

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    Handle: RePEc:taf:apmtfi:v:8:y:2001:i:4:p:197-208

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    Related research

    Keywords: Window Barrier Options; Convolution Density; Option Valuation Formulae; Trivariate Normal Distribution;

    References

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    1. P. Carr, 1995. "Two extensions to barrier option valuation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(3), pages 173-209.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    3. Tristan Guillaume, 2001. "valuation of options on joint minima and maxima," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 209-233.
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    Cited by:
    1. Yuji Hishida & Kenji Yasutomi, 2009. "Asymptotic behavior of prices of path dependent options," Papers 0911.5579, arXiv.org.
    2. Tristan Guillaume, 2011. "Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering," Post-Print hal-00924277, HAL.

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