Arbeitspapier
On a new class of barrier options
A barrier option is a financial derivative which includes an activation (or deactivation) clause within a standard vanilla option. For instance, a copper mining company could secure to sell in at least K dollars each ton of copper during the next year, by buying M European put options. However, it could purchase a less expensive derivative (a barrier option) which includes a clause which deactives the contract if ever the price of copper is below B dollars (for B
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2014-23
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Pearcey function
boundary crossing
heat equation
Rayleigh equation
option pricing
boundary options
- Ereignis
-
Geistige Schöpfung
- (wer)
-
del Valle, Gerardo Hernández
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- del Valle, Gerardo Hernández
- Banco de México
Entstanden
- 2014
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