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The Pricing of A Moving Barrier Option

Published 6 Mar 2013 in q-fin.PR, q-fin.CP, and q-fin.RM | (1303.1296v1)

Abstract: We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relation with risk free rate, dividend rate and stock volatility.

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Authors (1)

  1. Hyong-Chol O 

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