The valuation of American barrier option
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Bin Gao; Jing-zhi Huang; Marti Subrahmanyam
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Article
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2000
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Elsevier Science
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English
⚖ 323 KB
In this paper, we propose an alternative approach for pricing and hedging American barrier options. Speci"cally, we obtain an analytic representation for the value and hedge parameters of barrier options, using the decomposition technique of separating the European option value from the early exerci