On a new class of barrier options

Hernández del Valle Gerardo
Authors registered in the RePEc Author Service: Gerardo Hernández-del-Valle

No 2014-23, Working Papers from Banco de México

Abstract: A barrier option is a financial derivative which includes an activation (or deactivation) clause within a standard vanilla option. For instance, a copper mining company could secure to sell in at least K dollars each ton of copper during the next year, by buying M European put options. However, it could purchase a less expensive derivative (a barrier option) which includes a clause which deactives the contract if ever the price of copper is below B dollars (for BKeywords: Pearcey function; boundary crossing; heat equation; Rayleigh equation; option pricing; boundary options (search for similar items in EconPapers)
JEL-codes: G10 G12 G13 (search for similar items in EconPapers)
Date: 2014-11
New Economics Papers: this item is included in nep-cfn
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