• American Barrier Option Model

    Author(s):
    David Lee (see profile)
    Date:
    2023
    Group(s):
    Business Management
    Subject(s):
    Derivative securities, Pricing, Stock exchanges
    Item Type:
    Presentation
    Tag(s):
    Barrier option, American option, asset pricing, valuation model
    Permanent URL:
    https://doi.org/10.17613/nvyc-s603
    Abstract:
    A model is presented for pricing an American call option on stock. The option tenor is n years, and its strike price is increased every anniversary. It has also the following feature: if the stock price stays in excess of 200% of the current strike price during 10 consecutive trading days. The seller can issue a notice to the buyer that one half of all remaining unexercised options will expire in 30 days. Such a notice can only be issued once. The result of the notice will be an exercise by the buyer of at least a half of the option being held within 30 days. The buyer may continue to hold the rest till the originally set expiry date.
    Notes:
    https://www.mysciencework.com/publication/download/b39f29e6dfe62ebd814a1c173e0f16b2/1e05f261b8783697c4d85232556e1294
    Metadata:
    Status:
    Published
    Last Updated:
    4 months ago
    License:
    All-Rights-Granted

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