Edokko Options: A New Framework of Barrier Options |
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Authors: | Takahiko Fujita Ryozo Miura |
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Affiliation: | (1) Graduate School of Commerce and Management, Hitotsubashi University, Naka 2-1, Kunitachi, Tokyo, 186-8601, Japan |
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Abstract: | In this paper, we will give a new framework of barrier options to generalize`Parisian Option' and `Delayed Barrier Option'. Take a stopping time asthe caution time. When occurs, derivatives are given `Caution'. After, if K.O. time =() occurs, derivative contractsvanish. We simply say that first `Caution' second `K.O.'. Using thisframework, designs of barrier options become more flexible than before and newrisk management will be possible. New barrier options in this category arecalled Edokko Options or Tokyo Options. |
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Keywords: | /content/h14438258rq03717/xxlarge945.gif" alt=" agr" align=" BASELINE" BORDER=" 0" >-percentile option barrier option Black-Scholes model Delayed Barrier option Edokko option option pricing Parisian option |
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