Two extensions to barrier option valuation
Author:
P. Carr a
| Affiliation: | a Johnson Graduate School of Management, Cornell University, Ithaca, USA |
DOI:
10.1080/13504869500000010
Publication Frequency:
6 issues per year
Formats available:
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(English)
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Abstract
We first present a brief but essentially complete survey of the literature on barrier option pricing. We then present two extensions of European up-and-out call option valuation. The first allows for an initial protection period during which the option cannot be knocked out. The second considers an option which is only knocked out if a second asset touches an upper barrier. Closed form solutions, detailed derivations, and the economic rationale for both types of options are provided.
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| Keywords: option pricing; exotic options |
| view references (31) : view citations |

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