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A New Type of Barrier Options: Lizard Option
Asia-Pacific Financial Markets, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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1998
AbstractBarrier options are options that start to exist or cease to exist when the underlying stock hits a pre‐specified barrier value. We develop the standard formulas for barrier options.
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AbstractBarrier options are options that start to exist or cease to exist when the underlying stock hits a pre‐specified barrier value. We develop the standard formulas for barrier options.
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Journal of Derivatives, 1996
This article develops a new trinomial tree model for barrier options. It is well-known that for barrier options, the positions of nodes in the tree with respect to the barrier value are critical. We use a time-dependent shift to position the tree optimally with respect to the barrier.
Vorst, ACF (Ton), Cheuk, HF
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This article develops a new trinomial tree model for barrier options. It is well-known that for barrier options, the positions of nodes in the tree with respect to the barrier value are critical. We use a time-dependent shift to position the tree optimally with respect to the barrier.
Vorst, ACF (Ton), Cheuk, HF
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Barrier Option and Floating Barrier Option: Analysis of Delta Risk
2017The objective of the paper is present the analysis of the impact of modification the payoff function (floating barrier) on the price and the delta risk of barrier options. This paper presents the properties of the floating barrier option: the instrument’s structure, pay-off functions, the effect of a change in the value of selected factors (price of ...
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The Journal of Derivatives, 1995
B oyle and Lau (hereafter BL) [1994] have illustrated how a naive application of the binomial option pricing algorithm can lead to significantly biased estimates in the prices of a variety of barrier, capped, and vulnerable options, even when the number of time steps is large.
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B oyle and Lau (hereafter BL) [1994] have illustrated how a naive application of the binomial option pricing algorithm can lead to significantly biased estimates in the prices of a variety of barrier, capped, and vulnerable options, even when the number of time steps is large.
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2017
Chapter 1 provided a brief explanation of two popular exotic options, barriers and binaries—but what is an exotic option? There is no accepted definition but broadly speaking, it can be thought of as an option whose payoff is different from a vanilla, non-exotic option, for example, a payoff that is different from those shown in Fig. 1.4.
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Chapter 1 provided a brief explanation of two popular exotic options, barriers and binaries—but what is an exotic option? There is no accepted definition but broadly speaking, it can be thought of as an option whose payoff is different from a vanilla, non-exotic option, for example, a payoff that is different from those shown in Fig. 1.4.
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2021
Barrier options are set up conditionally, so that within the life of the option, a barrier may or may not be reached. The barrier option is dependent on an "extreme" price, either high or low, attained by the underlying. If a barrier is reached, or touched, the constraints are triggered.
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Barrier options are set up conditionally, so that within the life of the option, a barrier may or may not be reached. The barrier option is dependent on an "extreme" price, either high or low, attained by the underlying. If a barrier is reached, or touched, the constraints are triggered.
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2016
Das Ziel dieser Arbeit ist es einen Überblick über die Methoden zur Bewertung von Barrier Optionen in verschiedenen Modellen zu geben und darüberhinaus noch einen modellfreien Ansatz zu betrachten und in diesem Preisgrenzen herzuleiten. Als erstes wird das klassische Black-Scholes Modell betrachtet und darin Preisformeln für vier Typen von Barrier ...
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Das Ziel dieser Arbeit ist es einen Überblick über die Methoden zur Bewertung von Barrier Optionen in verschiedenen Modellen zu geben und darüberhinaus noch einen modellfreien Ansatz zu betrachten und in diesem Preisgrenzen herzuleiten. Als erstes wird das klassische Black-Scholes Modell betrachtet und darin Preisformeln für vier Typen von Barrier ...
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Algorithms for Barrier Options
2002We consider barrier options that knock out the first time the price S t of the underlying asset crosses a predetermined knock-out barrier b. This is one flavor of barrier options; a timing feature is added in [29], where options loose a fraction of their value for every day they spend above (or below) b.
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Pricing formulas of barrier-lookback option in uncertain financial markets
Chaos, Solitons and Fractals, 2021Yin Gao, Lifen Jia
exaly