Closed-form solutions for options with random initiation under asset price monitoring

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• 作者：Doobae Jun ; ^a ; ^{dbjun@gnu.ac.kr} ; Hyejin Ku^b ; ^{hku@mathstat.yorku.ca}
• 关键词：Option pricing ; Random initiation ; Barrier ; Asset monitoring
• 刊名：Finance Research Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：20
• 期：Complete
• 页码：68-74
• 全文大小：403 K
• 卷排序：20

文摘

This paper considers derivatives to prepare for financial risk that may arise randomly. Options initiated by an unexpected event and connected with a barrier of knock-in or knock-out type are studied. Closed-form solutions for pricing options with random initiation are obtained.