Research Repository

Risk-neutral valuation of power barrier options

Ibrahim, SNI and O'Hara, JG and Constantinou, N (2013) 'Risk-neutral valuation of power barrier options.' Applied Mathematics Letters, 26 (6). 595 - 600. ISSN 0893-9659

Full text not available from this repository.

Abstract

Barrier options are standard exotic options traded in the financial market. These instruments are different from the vanilla options as the payoff of the option depends on whether the underlying asset price reaches a predetermined barrier level, during the life of the option. In this work, we extend the vanilla call barrier options to power call barrier options where the underlying asset price is raised to a constant power, within the standard Black-Scholes framework. It is demonstrated that the pricing of the power barrier options can be obtained from standard barrier options by a transformation which involves the power contract and a adjusted barrier. Numerical results are considered. © 2012 Elsevier Ltd. All rights reserved.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Divisions: Faculty of Science and Health > Computer Science and Electronic Engineering, School of
Depositing User: Nick Constantinou
Date Deposited: 27 Feb 2013 11:53
Last Modified: 05 Feb 2019 03:15
URI: http://repository.essex.ac.uk/id/eprint/5687

Actions (login required)

View Item View Item