Continuous barrier range options - HAL-SHS - Sciences de l'Homme et de la Société
Article Dans Une Revue Journal of derivatives & Hedge Funds Année : 2009

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.
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Dates et versions

halshs-00426767 , version 1 (27-10-2009)

Identifiants

  • HAL Id : halshs-00426767 , version 1

Citer

Franck Moraux. Continuous barrier range options. Journal of derivatives & Hedge Funds, 2009, 15 (3), pp.215-222. ⟨halshs-00426767⟩
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