Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models
نویسندگان
چکیده
منابع مشابه
Valuing Time-Dependent CEV Barrier Options
We have derived the analytical kernels of the pricing formulae of the CEV knockout options with time-dependent parameters for a parametric class of moving barriers. By a series of similarity transformations and changing variables, we are able to reduce the pricing equation to one which is reducible to the Bessel equation with constant parameters. These results enable us to develop a simple and ...
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A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b± : [0, T ]→R+ have been hit during the time interval [0, T ]. Using a probabilistic approach, we obtain a decomposition of the barrier option price into the corresponding European option price minus the barrier premium for a w...
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Much of the work on path-dependent options assumes that the underlying asset price follows geometric Brownian motion with constant volatility. This paper uses a more general assumption for the asset price process that provides a better fit to the empirical observations. We use the so-called constant elasticity of variance (CEV) diffusion model where the volatility is a function of the underlyin...
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15 صفحه اولTime-dependent Barrier Options and Boundary Crossing Probabilities
The problem of pricing of time-dependent barrier options is considered in the case when interest rate and volatility are given functions in Black–Scholes framework. The calculation of the fair price reduces to the calculation of non-linear boundary crossing probabilities for a standard Brownian motion. The proposed method is based on a piecewise-linear approximation for the boundary and repeate...
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2020
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.2020.1.113