Continuous barrier range options

Franck Moraux ()

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Abstract: This article presents a set of exotic barrier options whose appearance/ disappearance mechanism lies over a range of values. This family generalizes soft barrier options introduced by Hart and Ross and represents a simple alternative to steps options suggested by Linetsky Q2 for reducing knock-out risk. The traditional soft mechanism involves a uniformly distributed process. By contrast, Barrier Range Options use other density functions to account for more complex mechanisms.

Keywords: exotic barrier option; soft barrier options; knock-out risk (search for similar items in EconPapers)
Date: 2009
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Published in Journal of derivatives & Hedge Funds, 2009, 15 (3), pp.215-222

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00426767

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