English, Article, Journal or magazine article edition: On an Alternative Approach to Pricing General Barrier Options Michael Suchanecki

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Bookmark: http://trove.nla.gov.au/version/52554
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On an Alternative Approach to Pricing General Barrier Options
Author
  • Michael Suchanecki
Physical Description
  • preprint
Notes
  • In this paper, an alternative approach to pricing barrier options is presented that relies on the use of the first hitting time density to the barrier. The lateral Chapman-Kolmogorov relation is used as a major tool in order to determine option prices. It turns out that this approach allows for pricing barrier options with more general payoffs and with general continuous Markovian stochastic processes as underlying (at least numerically). As an illustrative example, a simple down-and-in call option is considered and its well-known closed form pricing formula is obtained.
  • Barrier options, first passage time density, first hitting time density, lateral Chapman-Kolmogorov relation
  • RePEc:bon:bonedp:bgse27_2004
Language
  • English
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