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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:
- xml
- Status:
- Published
- Last Updated:
- 3 weeks ago
- License:
- All-Rights-Granted
- Share this:
Open access, open source, open to all
americanbarrier.pdf