The Pricing of A Moving Barrier Option
AbstractWe provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relation with risk free rate, dividend rate and stock volatility.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1303.1296.
Date of creation: Mar 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
- NEP-CWA-2013-03-09 (Central & Western Asia)
- NEP-FMK-2013-03-09 (Financial Markets)
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