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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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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/73638/1/Pricing%20down-and-out%20power%20options%20with%20exponentially%20curved%20barrier.pdf
http://psasir.upm.edu.my/id/eprint/73638/
https://www.aimsciences.org/article/doi/10.3934/naco.2018018
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spelling my.upm.eprints.736382020-06-13T18:30:20Z http://psasir.upm.edu.my/id/eprint/73638/ Pricing down-and-out power options with exponentially curved barrier Ng, Teck Wee Ibrahim, Siti Nur Iqmal 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 solution of the power options with an exponentially curved barrier by utilizing the reflection principle and the change of measure. Numerical results show that prices of power options with exponentially curved barrier are cheaper than those of power barrier options and power options. American Institute of Mathematical Sciences (AIMS) 2018 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/73638/1/Pricing%20down-and-out%20power%20options%20with%20exponentially%20curved%20barrier.pdf Ng, Teck Wee and Ibrahim, Siti Nur Iqmal (2018) Pricing down-and-out power options with exponentially curved barrier. Numerical Algebra, Control and Optimization, 8 (3). 301 - 307. ISSN 2155-3289; ESSN: 2155-3297 https://www.aimsciences.org/article/doi/10.3934/naco.2018018 10.3934/naco.2018018
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description 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 solution of the power options with an exponentially curved barrier by utilizing the reflection principle and the change of measure. Numerical results show that prices of power options with exponentially curved barrier are cheaper than those of power barrier options and power options.
format Article
author Ng, Teck Wee
Ibrahim, Siti Nur Iqmal
spellingShingle Ng, Teck Wee
Ibrahim, Siti Nur Iqmal
Pricing down-and-out power options with exponentially curved barrier
author_facet Ng, Teck Wee
Ibrahim, Siti Nur Iqmal
author_sort Ng, Teck Wee
title Pricing down-and-out power options with exponentially curved barrier
title_short Pricing down-and-out power options with exponentially curved barrier
title_full Pricing down-and-out power options with exponentially curved barrier
title_fullStr Pricing down-and-out power options with exponentially curved barrier
title_full_unstemmed Pricing down-and-out power options with exponentially curved barrier
title_sort pricing down-and-out power options with exponentially curved barrier
publisher American Institute of Mathematical Sciences (AIMS)
publishDate 2018
url http://psasir.upm.edu.my/id/eprint/73638/1/Pricing%20down-and-out%20power%20options%20with%20exponentially%20curved%20barrier.pdf
http://psasir.upm.edu.my/id/eprint/73638/
https://www.aimsciences.org/article/doi/10.3934/naco.2018018
_version_ 1671341097397256192
score 13.154949

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