DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
نویسندگان
چکیده
منابع مشابه
Double-barrier Parisian Options
In this paper we study the excursion time of a Brownian motion with drift outside a corridor by using a four-state semi-Markov model. In mathematical finance, these results have an important application in the valuation of double-barrier Parisian options. We subsequently obtain an explicit expression for the Laplace transform of its price.
متن کاملNumerical valuation of discrete double barrier options
In the present paper we explore the problem for pricing discrete barrier options utilizing the Black–Scholes model for the random movement of the asset price. We postulate the problemas a path integral calculation by choosing approach that is similar to the quadrature method. Thus, the problem is reduced to the estimation of a multi-dimensional integral whose dimension corresponds to the number...
متن کاملPricing Double Barrier Options: An Analytical Approach
Double barrier options have become popular instruments in derivative markets. Several papers have already analysed double knock-out call and put options using di erent methods. In a recent paper, Geman and Yor (1996) derive expressions for the Laplace transform of the double barrrier option price. However, they have to resort to numerical inversion of the Laplace transform to obtain option pric...
متن کاملRobust Hedging of Double Touch Barrier Options
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underlying process (typically continuity), but assume that the initial prices of call options with the same maturity and all strikes are known. Under such circumstances, we are able to give upper and lower bounds on the arbit...
متن کاملCross a barrier to reach barrier options
Article history: Received 30 October 2010 Available online 28 December 2011 Submitted by J.A. Filar
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2013
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024913500441