Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries

Otto Konstandatos ()

No 396, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: We develop novel methods for efficient analytical solution of all types of partial time barrier options with both single and double exponential and time varying boundaries, and specifically to treat forward-starting partial double barrier options, which present the simplest non-trivial example of the multiple exponential time-varying barrier case. Our methods reduce the pricing of all barrier options with time-varying boundaries to the pricing of a single European option. We express our novel results solely in terms of European first and second order Gap options. We are motivated by similar structures appearing in Structural Credit Risk models for firm default.

Keywords: Exotic Options; Method of Images; Partial Time Double Barrier Options; Window Double Barrier Options; Partial-time barrier options; Credit Risk (search for similar items in EconPapers)
JEL-codes: C65 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2018-10-01
New Economics Papers: this item is included in nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.uts.edu.au/sites/default/files/article/downloads/rp396.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.uts.edu.au/sites/default/files/article/downloads/rp396.pdf [301 Moved Permanently]--> https://www.uts.edu.au/globalassets/sites/default/files/article/downloads/rp396.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:396

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().