An empirical examination of the pricing of exchange-traded barrier options

Title: An empirical examination of the pricing of exchange-traded barrier options
Creator: Easton, Stephen Andrew; Gerlach, Richard Helmut; Graham, Melissa; Tuyl, Frank
Relation: The Journal of Futures Market Vol. 24, Issue 11, p. 1049-1064
Publisher Link: http://dx.doi.org/10.1002/fut.20117
Publisher: John Wiley & Sons Inc.
Resource Type: journal article
Date: 2004
Description: Actively traded barrier options were introduced on the Australian Stock Exchange in 1998. This market provides a unique laboratory in which to empirically examine their pricing. This is particularly so given that, for a number of these options, otherwise identical standard European options were simultaneously traded. As a result, the pricing of barrier options may be compared both with their theoretical valuations and with the pricing of otherwise identical European options.
Subject: Australian Stock Exchange; 1998; exchange-traded barrier options
Identifier: http://hdl.handle.net/1959.13/27561
Identifier: uon:1795
Identifier: ISSN:0270-7314
Language: eng
Reviewed

		Thumbnail	File	Description	Size	Format