Barrier Option and Floating Barrier Option: Analysis of Delta Risk

Ewa Dziawgo ()
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Ewa Dziawgo: Nicolaus Copernicus University

A chapter in Eurasian Business Perspectives, 2018, pp 367-377 from Springer

Abstract: Abstract The objective of the paper is present the analysis of the impact of modification the payoff function (floating barrier) on the price and the delta risk of barrier options. This paper presents the properties of the floating barrier option: the instrument’s structure, pay-off functions, the effect of a change in the value of selected factors (price of the underlying instrument and floating barrier) on the price of option and the value of the delta coefficient. The article also contains a comparative analysis of the properties of standard barrier options and floating barrier options. The empirical illustration included in the paper is concerned with the pricing simulations of the currency barrier options on EUR/USD. The analysis concern the following class barrier options: down knock-in call, down knock-out call, up knock-in put and up knock-out put.

Keywords: Risk management; Measures of risk; Options; Derivatives (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-319-67913-6_25

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DOI: 10.1007/978-3-319-67913-6_25

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