Title of article
Cross a barrier to reach barrier options
Author/Authors
Jun، نويسنده , , Doobae and Ku، نويسنده , , Hyejin، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2012
Pages
11
From page
968
To page
978
Abstract
This paper studies a new type of barrier options where a regular barrier option comes into existence in the event that the underlying asset price first crosses specified barrier levels. We derive closed form formulas for the prices via the reflection principle and provide numerical results to illustrate the properties of our solutions with respect to option parameters.
Keywords
Barrier option , Hitting time , reflection principle
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2012
Journal title
Journal of Mathematical Analysis and Applications
Record number
1562667
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