Citation
Ng, Teck Wee and Ibrahim, Siti Nur Iqmal
(2018)
Pricing down-and-out power options with exponentially curved barrier.
Numerical Algebra, Control and Optimization, 8 (3).
301 - 307.
ISSN 2155-3289; ESSN: 2155-3297
Abstract
Power barrier options are options where the payoff depends on an underlying asset raised to a constant number. The barrier determines whether the option is knocked in or knocked out of existence when the underlying asset hits the prescribed barrier level, or not. This paper derives the analytical solution of the power options with an exponentially curved barrier by utilizing the reflection principle and the change of measure. Numerical results show that prices of power options with exponentially curved barrier are cheaper than those of power barrier options and power options.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science Institute for Mathematical Research |
| DOI Number: | https://doi.org/10.3934/naco.2018018 |
| Publisher: | American Institute of Mathematical Sciences (AIMS) |
| Keywords: | Power option; Barrier option; Exponentially curved barrier; Risk-neutral valuation; Girsanov theorem |
| Depositing User: | Ms. Nida Hidayati Ghazali |
| Date Deposited: | 13 Jun 2020 18:30 |
| Last Modified: | 13 Jun 2020 18:30 |
| Altmetrics: | https://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.3934/naco.2018018 |
| URI: | http://psasir.upm.edu.my/id/eprint/73638 |
| Statistic Details: | View Download Statistic |
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