Continuous barrier range options
Résumé
This article presents a set of exotic barrier options whose appearance/ disappearance mechanism lies over a range of values. This family generalizes soft barrier options introduced by Hart and Ross and represents a simple alternative to steps options suggested by Linetsky Q2 for reducing knock-out risk. The traditional soft mechanism involves a uniformly distributed process. By contrast, Barrier Range Options use other density functions to account for more complex mechanisms.