Closed form valuation of American chained knock-in options

Heejae Han, Junkee Jeon and Myungjoo Kang

Finance Research Letters, 2016, vol. 17, issue C, 176-185

Abstract: In this paper, we study pricing of American chained knock-in option. Chained barrier option is a new type of barrier option with two barrier levels. A knock-in American chained barrier option under a trigger clause is an option contract in which the option holder receives an American knock-in option conditional on the underlying asset price breaching a specified barrier level. We derive analytic valuation formulas for knock-in American chained options under the Black–Scholes pricing framework by using reflection principle and formulas for knock-in American options. Furthermore, we present some numerical solutions and plots of the value of knock-in American chained options.

Keywords: Chained options; Knock-in options; American barrier options; Reflection principle (search for similar items in EconPapers)
JEL-codes: C02 C6 G12 G13 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:176-185

DOI: 10.1016/j.frl.2016.03.003

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