The Pricing of A Moving Barrier Option

📝 Original Info

• Title: The Pricing of A Moving Barrier Option
• ArXiv ID: 1303.1296
• Date: 2013-11-14
• Authors: Researchers from original ArXiv paper

📝 Abstract

We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relation with risk free rate, dividend rate and stock volatility.

💡 Deep Analysis

Deep Dive into The Pricing of A Moving Barrier Option.

We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relation with risk free rate, dividend rate and stock volatility.

📄 Full Content

Reference