Valuation of Barrier Options with the Binomial Pricing Model
Derivatives are products of different nature which are becoming increasingly common in financial markets. In certain cases, determining the assessment criteria can sometimes be a difficult task. Specifically, this paper focuses on one type of exotic option: the barrier option. This option has to sat...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Accademia Piceno Aprutina dei Velati
2016-12-01
|
| Series: | Ratio Mathematica |
| Subjects: | |
| Online Access: | http://eiris.it/ojs/index.php/ratiomathematica/article/view/317 |
| _version_ | 1818548481796603904 |
|---|---|
| author | Salvador Cruz Rambaud Ana María Sánchez Pérez |
| author_facet | Salvador Cruz Rambaud Ana María Sánchez Pérez |
| author_sort | Salvador Cruz Rambaud |
| collection | DOAJ |
| description | Derivatives are products of different nature which are becoming increasingly common in financial markets. In certain cases, determining the assessment criteria can sometimes be a difficult task. Specifically, this paper focuses on one type of exotic option: the barrier option. This option has to satisfy some conceptual conditions which are specified at the time of its purchase and define its characteristics. In order to analyze this type of option more deeply, in this paper we choose a specific one, the so-called barrier option cap, whose value is going to be derived by the binomial pricing model. |
| first_indexed | 2024-12-12T08:20:31Z |
| format | Article |
| id | doaj.art-f5cde6edef25499c85b432c95c2824b2 |
| institution | Directory Open Access Journal |
| issn | 1592-7415 2282-8214 |
| language | English |
| last_indexed | 2024-12-12T08:20:31Z |
| publishDate | 2016-12-01 |
| publisher | Accademia Piceno Aprutina dei Velati |
| record_format | Article |
| series | Ratio Mathematica |
| spelling | doaj.art-f5cde6edef25499c85b432c95c2824b22022-12-22T00:31:24ZengAccademia Piceno Aprutina dei VelatiRatio Mathematica1592-74152282-82142016-12-01311253510.23755/rm.v31i0.317323Valuation of Barrier Options with the Binomial Pricing ModelSalvador Cruz Rambaud0Ana María Sánchez Pérez1Universidad de Almería (Spain)Universidad de Almería (Spain)Derivatives are products of different nature which are becoming increasingly common in financial markets. In certain cases, determining the assessment criteria can sometimes be a difficult task. Specifically, this paper focuses on one type of exotic option: the barrier option. This option has to satisfy some conceptual conditions which are specified at the time of its purchase and define its characteristics. In order to analyze this type of option more deeply, in this paper we choose a specific one, the so-called barrier option cap, whose value is going to be derived by the binomial pricing model.http://eiris.it/ojs/index.php/ratiomathematica/article/view/317barrier optionsexotic optionsbarrier option capbinomial model |
| spellingShingle | Salvador Cruz Rambaud Ana María Sánchez Pérez Valuation of Barrier Options with the Binomial Pricing Model Ratio Mathematica barrier options exotic options barrier option cap binomial model |
| title | Valuation of Barrier Options with the Binomial Pricing Model |
| title_full | Valuation of Barrier Options with the Binomial Pricing Model |
| title_fullStr | Valuation of Barrier Options with the Binomial Pricing Model |
| title_full_unstemmed | Valuation of Barrier Options with the Binomial Pricing Model |
| title_short | Valuation of Barrier Options with the Binomial Pricing Model |
| title_sort | valuation of barrier options with the binomial pricing model |
| topic | barrier options exotic options barrier option cap binomial model |
| url | http://eiris.it/ojs/index.php/ratiomathematica/article/view/317 |
| work_keys_str_mv | AT salvadorcruzrambaud valuationofbarrieroptionswiththebinomialpricingmodel AT anamariasanchezperez valuationofbarrieroptionswiththebinomialpricingmodel |