The Pricing of A Moving Barrier Option
Tongji University; Kim Il Sung University - Centre of Basic Sciences
In this paper, 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.
Number of Pages in PDF File: 11
Keywords: Barrier option, Moving barrier, Image solution, Put-Call Parity
JEL Classification: G13working papers series
Date posted: June 16, 2005
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