Pricing down-and-out power options with exponentially curved barrier

Pricing down-and-out power options with exponentially curved barrier

Power barrier options are options where the payoff depends on an underlying asset raised to a constant number. The barrier determines whether the option is knocked in or knocked out of existence when the underlying asset hits the prescribed barrier level, or not. This paper derives the analytical so...

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Bibliographic Details
Main Authors: Ng, Teck Wee, Ibrahim, Siti Nur Iqmal
Format: Article
Language:English
Published: American Institute of Mathematical Sciences (AIMS) 2018
Online Access:http://psasir.upm.edu.my/id/eprint/73638/
http://psasir.upm.edu.my/id/eprint/73638/1/Pricing%20down-and-out%20power%20options%20with%20exponentially%20curved%20barrier.pdf

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