The Pricing of A Moving Barrier Option
classification
💱 q-fin.PR
q-fin.CPq-fin.RM
keywords
barrierratemovingoptiondividendfreepricingrisk
read the original abstract
We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relation with risk free rate, dividend rate and stock volatility.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.