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The Pricing of A Moving Barrier Option


Hyong-chol O


Tongji University; Kim Il Sung University - Centre of Basic Sciences
2004


Abstract:     
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: G13

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Date posted: June 16, 2005  

Suggested Citation

O, Hyong-chol, The Pricing of A Moving Barrier Option (2004). Available at SSRN: http://ssrn.com/abstract=742924 or http://dx.doi.org/10.2139/ssrn.742924

Contact Information

Hyong-chol O (Contact Author)
Tongji University ( email )
1239 Siping Road
Shanghai 200092
Republic of China
+86-021-65985699 (Phone)
+86-021-65982342 (Fax)
Kim Il Sung University - Centre of Basic Sciences
Taesung District, Kumsong Street
Pyongyang
Korea, Peoples Republic of
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