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A Closed-Form Formula for an Option with Discrete and Continuous Barriers
Journal article   Peer reviewed

A Closed-Form Formula for an Option with Discrete and Continuous Barriers

Chun-Ying Chen, Pei-Ju Chou, Jeff Yu-Shun Hsu, Wisely Po-Hong Liu, Yuh-Dauh Lyuu and Chuan-Ju Wang
Communications in statistics. Theory and methods, Vol.40(2), pp.345-357
01/01/2011
DOI: https://doi.org/10.1080/03610920903402605

Abstract

Analytical formula Barrier option Option pricing Structured product
This article presents a methodology to derive analytical formulas for a class of complicated financial derivatives with a continuously monitored barrier and a few discretely monitored ones. Numerical results based on concrete numbers for the parameters are presented and analyzed.

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