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Heynen Ron, Harry Kat 'Partial Barrier Options'
Posted: February 9th, 2011, 7:38 pm
by Darya11
Does anyone have the Heynen and Kat paper (The Journal of Financial Engineering 3, 1994) that gives analytic solutions for partial barrier options?
Re: Heynen Ron, Harry Kat 'Partial Barrier Options'
Posted: August 27th, 2016, 10:06 pm
by DrissBadiane
Hi Darya11,
did you find that paper? I am looking for this paper and it's almost impossible to get it online. Thanks
Re: Heynen Ron, Harry Kat 'Partial Barrier Options'
Posted: August 29th, 2016, 10:26 am
by LocalVolatility
Hi DrissBadiane,
please check your private messages - I just forwarded you a scan of this paper that I once made.
One more suggestion - if you are looking to price partial time barrier options within the Black and Scholes framework, then have a look at the method of images in combination with higher order binary options. See my reply in
this thread for the relevant papers.
Cheers!