English

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

R2 v1 2026-06-21T10:55:22.344Z