Classification of barrier options
Pricing of Securities
2008-12-02 v1 Numerical Analysis
Optimization and Control
Abstract
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler type of option. This problem is meaningful in the real world where option prices are always determined within a certain level of accuracy. The problem is reduced to finding certain critical values of the initial stock price, and this is achieved through a probability-based approach.
Keywords
Cite
@article{arxiv.0806.4676,
title = {Classification of barrier options},
author = {J. C. Ndogmo},
journal= {arXiv preprint arXiv:0806.4676},
year = {2008}
}
Comments
10 pages