Chapter 10. VANILLA BARRIER OPTIONS

Peter G. Zhang
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Peter G. Zhang: Vice-President, Capital Markets Research, Chase Manhattan Bank, USA

Chapter 10 in Exotic Options:A Guide to Second Generation Options, 1997, pp 201-256 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONVANILLA BARRIER OPTIONSABSORBING AND REFLECTING BARRIERSAbsorbing BarriersReflecting BarriersUNRESTRICTED AND RESTRICTED DENSITY FUNCTIONSUnrestricted DistributionRestricted DistributionsDistribution of the First Passage TimePRICING STANDARD BARRIER OPTIONSThe Relative Magnitudes of Strike Price and BarrierKnock-In OptionsDown-In Barrier Call OptionsUp-In Barrier Call OptionsDown-In Barrier Put OptionsUp-In Barrier Put OptionsKnockout OptionsValues of Out Options Without RebatesPresent Values of Rebates of Out OptionsRelationship Between the Prices of An In Option and Its Corresponding Out OptionGREEKS OF VANILLA BARRIER OPTIONSSUMMARY AND CONCLUSIONSQUESTIONS AND EXERCISESQuestionsExercisesAPPENDIXThe Derivation of the Density Function If the Down-Barrier is Never HitThe Expected Rebate For An Out-Barrier Option (EROB)Pricing Formulas for Vanilla Barrier Options In Compact Forms

Date: 1997
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