Pricing Exotic Barrier Options with Finite Differences

A barrier option is a derivative instrument whose payoff is dependent on the path of the underlying security up to maturity. We design a pricing system using Finite Differences to investigate the properties of and price options with exotic barrier features. The system determines the payoff, delta and gamma functions of these options with accuracy and speed, and can therefore provide quality pricing and hedging parameters to the professional trading community

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Year of publication:	[2016]
Authors:	Cao, Guanghua
Other Persons:	MacLeod, Roderick (contributor)
Publisher:	[2016]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (29 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 22, 2005 erstellt
Other identifiers:	10.2139/ssrn.989641 [DOI]
Classification:	G1 - General Financial Markets ; G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G22 - Insurance; Insurance Companies ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012707120