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Document type:
Bachelorarbeit 
Author(s):
Binder, Florian 
Title:
Pricing of barrier options in discrete time 
Abstract:
Barrier options are options that are activated or extinguished when the price of the underlying asset reaches the barrier. The underlying asset could be a stock, an exchange rate, an index or something else. For pricing them it is important how often the barrier crossing is checked. For the continuously monitored case there exists a closed formula (Merton 1973). This thesis is focused on the discretely monitored case, when the barrier crossing is checked just in a given time interval (e.g daily)...    »
 
Advisor:
Prof. Dr. Matthias Scherer 
Referee:
PD Dr. Aleksey Min 
Year:
2011 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Format:
Text