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The Pricing of A Moving Barrier Option

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  • Hyong-chol O

Abstract

We 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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  • Hyong-chol O, 2013. "The Pricing of A Moving Barrier Option," Papers 1303.1296, arXiv.org.
    • Handle: RePEc:arx:papers:1303.1296
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    1. Peter Buchen, 2004. "The pricing of dual-expiry exotics," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 101-108.
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