Valuation formulae for window barrier options
Author:
Grant F. Armstrong a
| Affiliation: | a Debt Markets Trading, National Australia Bank, Level 32, 500 Bourke Street, Melbourne, 3000, Australia. |
DOI:
10.1080/13504860210124607
Publication Frequency:
6 issues per year
Number of References: 14
Formats available:
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Abstract
In this paper we study window barrier options, where a single constant continuously-monitored barrier prevails for a period that commences strictly after the start date of the option and terminates strictly before expiry. We determine valuation formulae within a limited deterministic term-structure in terms of trivariate normal distribution functions. These formulae offer a generalization of the valuation formulae for partial barrier options given by Heynan and Kat.
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| Keywords: Window Barrier Options; Convolution Density; Option Valuation Formulae; Trivariate Normal Distribution |
| view references (14) |

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