Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach

Mathematics

MarianitoR. Rodrigo¹ 

[1] School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW 2522, Australia;

关键词: barrier options;    exponential barriers;    jump-diffusion dynamics;    options on futures;    Mellin transform;    Black–Scholes kernel;   

DOI  :  10.3390/math8081271

来源: DOAJ

【 摘 要 】

A barrier option is an exotic path-dependent option contract where the right to buy or sell is activated or extinguished when the underlying asset reaches a certain barrier price during the lifetime of the contract. In this article we use a Mellin transform approach to derive exact pricing formulas for barrier options with general payoffs and exponential barriers on underlying assets that have jump-diffusion dynamics. With the same approach we also price barrier options on underlying futures contracts.

【 授权许可】

Unknown