Barrier Options Under Negative Rates in Black-Scholes
| Year of publication: |
2015
|
|---|---|
| Authors: | Le Floc'h, Fabien |
| Other Persons: | Prüll, Alexander (contributor) |
| Publisher: |
[2015]: [S.l.] : SSRN |
| Subject: | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Description of contents: |
Under negative interest rates, the Black-Scholes formula for barrier options with rebate appears to breakdown. This note shows how one can just use complex numbers to overcome the problem
|
freely available
| Extent: | 1 Online-Ressource (4 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 26, 2014 erstellt |
| Other identifiers: | 10.2139/ssrn.2501907 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013032357