English, Article, Journal or magazine article edition: Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk Dietmar P.J. Leisen

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Bookmark: http://trove.nla.gov.au/version/52167
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk
Author
  • Dietmar P.J. Leisen
Physical Description
  • preprint
Notes
  • This paper discusses the pitfalls in the pricing of barrier options a pproximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where price changes occur at the jump times of a Poisson process. After the numerical difficulties have been resolved in the Black-Scholes model, unpredictable discontinuous price movements are incorporated.
  • binomial model, option valuation, lattice--approach, barrier option
  • RePEc:bon:bonsfb:446
Language
  • English
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