BARRIER OPTION PRICING BY BRANCHING PROCESSES

This paper examines the pricing of barrier options when the price of the underlying asset is modeled by a branching process in a random environment (BPRE). We derive an analytical formula for the price of an up-and-out call option, one form of a barrier option. Calibration of the model parameters is...

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Veröffentlicht in:	International Journal of Theoretical and Applied Finance (IJTAF) 2009-11, Vol.12 (7), p.1055-1073
Hauptverfasser:	MITOV, GEORGI K., RACHEV, SVETLOZAR T., KIM, YOUNG SHIN, FABOZZI, FRANK J.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Barrier option Bienayme-Galton-Watson branching process branching process in a random environment Credit market Derivatives Financial engineering Financial models Market prices Mathematical finance Option pricing Put & call options Securities prices Stochastic models Studies up-and-out call option
Online-Zugang:	Volltext
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