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Risk-neutral valuation of power barrier options

✍ Scribed by Ibrahim, Siti Nur Iqmal; O’Hara, John G.; Constantinou, Nick


Book ID
120082816
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
368 KB
Volume
26
Category
Article
ISSN
0893-9659

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The valuation of American barrier option
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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