![]() From both a theoretical and hedging perspective, barrier options are shown to be more complex than standard options. ![]() Closed-form solutions are derived and comparative statics are presented for European barrier options with a fixed rebate and barrier level. This paper begins by presenting, in an intuitive and unified framework, the mathematical foundation necessary to value barrier options. Barrier options are one of the most popular first-generation exotic options, yet little theoretical research exists. ![]()
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |