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An empirical examination of the pricing of exchange-traded barrier options

✍ Scribed by Steve Easton; Richard Gerlach; Melissa Graham; Frank Tuyl

Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
111 KB
Volume
24
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

Actively traded barrier options were introduced on the Australian Stock Exchange in 1998. This market provides a unique laboratory in which to empirically examine their pricing. This is particularly so given that, for a number of these options, otherwise identical standard European options were simultaneously traded. As a result, the pricing of barrier options may be compared both with their theoretical valuations and with the pricing of otherwise identical European options. Β© 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1049–1064, 2004

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