pith. sign in

arxiv: 1207.4608 · v2 · pith:RKMHLNCAnew · submitted 2012-07-19 · 💱 q-fin.PR · math.PR

Digital double barrier options: Several barrier periods and structure floors

classification 💱 q-fin.PR math.PR
keywords barrierdigitaldoubleoptionsperiodspricestructurevalue
0
0 comments X
read the original abstract

We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.

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.