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)
BibTeX
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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| 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)