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
On the option valuation and decomposition of exchange option
β Scribed by Choi, Won ;Ahn, Seung Chul
- Publisher
- Springer-Verlag
- Year
- 2002
- Tongue
- English
- Weight
- 117 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1226-0061
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π SIMILAR VOLUMES
## Abstract The value of a compound option, __an option on an option__, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerfu
This note compares the valuation of a "lookback" put option with that of an option which, at payoff, gives its holder the difference between the maximum value recorded during the option's life and an initial value based on underlying asset price at the time of initiation. This latter instrument is c
## I9 12 5 . The horizontal axis measures option moneyness, defined as the percentage difference between a discounted strike price and a stock price, i.e., ## Ke-* -So Ke-\* x 100 and the vertical axis measures values for -Q3 and Q4. The most telling observation from Figure is that negative s
A model of option exchange design is proposed and tested. The model allows investors to choose among several exchange-traded options based on a trade-off between standardization costs and liquidity/transaction costs. It employs a spatial economics approach to provide results for the existence of mar
## Abstract This article develops a discreteβtime, riskβneutral valuation relation (RNVR) for the pricing of contingent claims when preferences in the economy are characterized by decreasing absolute risk aversion and the marginal distribution of the underlying is an inverse coshnormal. The RNVR is