Valuation formulae for window barrier options |
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Authors: | Grant F Armstrong |
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Institution: | Debt Markets Trading, National Australia Bank, Level 32, 500 Bourke Street, Melbourne, 3000, Australia |
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Abstract: | In this paper we study window barrier options, where a single constant continuously-monitored barrier prevails for a period that commences strictly after the start date of the option and terminates strictly before expiry. We determine valuation formulae within a limited deterministic term-structure in terms of trivariate normal distribution functions. These formulae offer a generalization of the valuation formulae for partial barrier options given by Heynan and Kat. |
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Keywords: | Window Barrier Options Convolution Density Option Valuation Formulae Trivariate Normal Distribution |
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