Pricing Outside Barrier Options

  • Lee Hangsuck (Department of Statistics, Soongsil University)
  • Published : 2004.11.01

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.

Keywords