Barrier options

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
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Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 8 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 185-198 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Types of barrier optionsStandard barrier optionsOptions with a rebateDown-and-out call option without a rebateReduction to the boundary problem for the Generalized Black-Scholes equationReduction to the Cauchy problem for an ordinary differential operator with the operator-valued coefficientConstruction of the resolvent, and the Wiener-Hopf factorization with a parameterProof of Eq. (8.17) and continuity of the RHS in Eq. (8.19)Asymptotics of the option price near the barrierCommentary

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
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