Pricing down-and-out power options with exponentially curved barrier
Power barrier options are options where the payoff depends on an underlying asset raised to a constant number. The barrier determines whether the option is knocked in or knocked out of existence when the underlying asset hits the prescribed barrier level, or not. This paper derives the analytical so...
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| フォーマット: | 論文 |
| 言語: | English |
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American Institute of Mathematical Sciences (AIMS)
2018
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| オンライン･アクセス: | http://psasir.upm.edu.my/id/eprint/73638/1/Pricing%20down-and-out%20power%20options%20with%20exponentially%20curved%20barrier.pdf http://psasir.upm.edu.my/id/eprint/73638/ https://www.aimsciences.org/article/doi/10.3934/naco.2018018 |
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my.upm.eprints.736382020-06-13T18:30:20Z http://psasir.upm.edu.my/id/eprint/73638/ Pricing down-and-out power options with exponentially curved barrier Ng, Teck Wee Ibrahim, Siti Nur Iqmal Power barrier options are options where the payoff depends on an underlying asset raised to a constant number. The barrier determines whether the option is knocked in or knocked out of existence when the underlying asset hits the prescribed barrier level, or not. This paper derives the analytical solution of the power options with an exponentially curved barrier by utilizing the reflection principle and the change of measure. Numerical results show that prices of power options with exponentially curved barrier are cheaper than those of power barrier options and power options. American Institute of Mathematical Sciences (AIMS) 2018 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/73638/1/Pricing%20down-and-out%20power%20options%20with%20exponentially%20curved%20barrier.pdf Ng, Teck Wee and Ibrahim, Siti Nur Iqmal (2018) Pricing down-and-out power options with exponentially curved barrier. Numerical Algebra, Control and Optimization, 8 (3). 301 - 307. ISSN 2155-3289; ESSN: 2155-3297 https://www.aimsciences.org/article/doi/10.3934/naco.2018018 10.3934/naco.2018018 |
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| description |
Power barrier options are options where the payoff depends on an underlying asset raised to a constant number. The barrier determines whether the option is knocked in or knocked out of existence when the underlying asset hits the prescribed barrier level, or not. This paper derives the analytical solution of the power options with an exponentially curved barrier by utilizing the reflection principle and the change of measure. Numerical results show that prices of power options with exponentially curved barrier are cheaper than those of power barrier options and power options. |
| format |
Article |
| author |
Ng, Teck Wee Ibrahim, Siti Nur Iqmal |
| spellingShingle |
Ng, Teck Wee Ibrahim, Siti Nur Iqmal Pricing down-and-out power options with exponentially curved barrier |
| author_facet |
Ng, Teck Wee Ibrahim, Siti Nur Iqmal |
| author_sort |
Ng, Teck Wee |
| title |
Pricing down-and-out power options with exponentially curved barrier |
| title_short |
Pricing down-and-out power options with exponentially curved barrier |
| title_full |
Pricing down-and-out power options with exponentially curved barrier |
| title_fullStr |
Pricing down-and-out power options with exponentially curved barrier |
| title_full_unstemmed |
Pricing down-and-out power options with exponentially curved barrier |
| title_sort |
pricing down-and-out power options with exponentially curved barrier |
| publisher |
American Institute of Mathematical Sciences (AIMS) |
| publishDate |
2018 |
| url |
http://psasir.upm.edu.my/id/eprint/73638/1/Pricing%20down-and-out%20power%20options%20with%20exponentially%20curved%20barrier.pdf http://psasir.upm.edu.my/id/eprint/73638/ https://www.aimsciences.org/article/doi/10.3934/naco.2018018 |
| _version_ |
1671341097397256192 |
| score |
13.251813 |