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yondaime
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Closed form formulae for Barrier options

July 28th, 2020, 3:53 am

Hi all,

I have this paper (attached) by Andreas Weber and Uwe Wystup which gives closed form formulae for Barrier options (Sec 1.2). What I absolutely can't make any decision over is the part that whether the barrier style is American or European.
I feel the formulae are for pricing the European style Barrier options. Can someone clarify?

Thanks!
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Option pricing.pdf
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Alan
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Re: Closed form formulae for Barrier options

August 1st, 2020, 3:39 pm

American: barrier provisions are triggered by any hit prior to option's expiration.
 
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Collector
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Re: Closed form formulae for Barrier options

Yesterday, 9:27 pm

old and good (or perhaps just old?)

Closed Form Valuation Of American Barrier Options

if not access, a pre-print version here, mostly the same, even if published version is better
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