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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 and 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 and Francis Journals, vol. 2(3), pages 173-209.
    2. Tristan Guillaume, 2001. "valuation of options on joint minima and maxima," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(4), pages 209-233.
    3. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    4. 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.
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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.

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