Quotation Altay, Sühan, Gerhold , Stefan, Haidinger, Rainer, Hirhager, Karin. 2013. Digital double barrier options: Several barrier periods and structure floors. International Journal of Theoretical and Applied Finance. 16 (08)


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Abstract

We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Journal of Theoretical and Applied Finance
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-D, WH-B
Language English
Title Digital double barrier options: Several barrier periods and structure floors
Volume 16
Number 08
Year 2013
Reviewed? Y
URL https://www.worldscientific.com/doi/10.1142/S0219024913500441
DOI http://dx.doi.org/10.1142/S0219024913500441
Open Access N

Associations

People
Altay, Sühan (Details)
External
Gerhold , Stefan (TU Wien, Austria)
Haidinger, Rainer (Raiffeisen Kapitalanlage-Gesellschaft m.b.H., Austria)
Hirhager, Karin (Christian Doppler Laboratory for Portfolio Risk Management, Vienna University of Technology, , Austria)
Organization
Institute for Statistics and Mathematics IN (Details)
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