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Local time and the pricing of time-dependent barrier options

✍ Scribed by Aleksandar Mijatović

Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
768 KB
Volume
14
Category
Article
ISSN
0949-2984

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✍ Steve Easton; Richard Gerlach; Melissa Graham; Frank Tuyl 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 111 KB 👁 2 views

## 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 opti