Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2004.11a
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- Pages.165-170
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- 2004
Pricing Outside Barrier Options
Abstract
This paper will derive explicit unified pricing formulas for eight types of outside barrier options, respectively. The monitoring periods of these options start at an arbitrary date and end at another arbitrary date before maturity. The eight types of barrier options are up-and-in, up-and-out, down-and-in and down-and-out call (or put) options.