The extension of the Black-Scholes option pricing theory to the valuation of barrier options is reconsidered. Working in the binomial framework of CRR we show how various types of barrier options can be priced either by backward induction or by closed binomial formulas. We also consider...

The extension of the Black-Scholes option pricing theory to the valuation of barrier options is reconsidered. Working in the binomial framework of CRR we show how various types of barrier options can be priced either by backward induction or by closed binomial formulas. We also consider...

Die vorliegende Arbeit befa_t sich mit der Bewertung von Down-and-out Calls. Es werden die Vertragseigenschaften und das resultierende Hedgeportfolio untersucht und die Unterschiede zu einem europdischen Call verdeutlicht. Daneben stehen unterschiedliche Bewertungsverfahren im Mittelpunkt des...