An empirical examination of the pricing of exchange‐traded barrier options

Steve Easton, Richard Gerlach, Melissa Graham and Frank Tuyl

Journal of Futures Markets, 2004, vol. 24, issue 11, 1049-1064

Abstract: Actively traded barrier options were introduced on the Australian Stock Exchange in 1998. This market provides a unique laboratory in which to empirically examine their pricing. This is particularly so given that, for a number of these options, otherwise identical standard European options were simultaneously traded. As a result, the pricing of barrier options may be compared both with their theoretical valuations and with the pricing of otherwise identical European options. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1049–1064, 2004

Date: 2004
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