On barrier option pricing in binomial market with transaction costs

Abstract

A barrier option is the most important exotic option for structured products. Barrier options have special characteristics which distinguish them from vanilla options. The most popular standard barrier options are ‘‘knock-out’’ and ‘‘knockin’’ options. These options are expired or exercisable automatically when the stock price hits the specified barrier… (More)
DOI: 10.1016/j.amc.2006.12.028

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Cite this paper

@article{Sun2007OnBO, title={On barrier option pricing in binomial market with transaction costs}, author={Chao Sun and Jing-Yang Yang and Sheng-Hong Li}, journal={Applied Mathematics and Computation}, year={2007}, volume={189}, pages={1505-1516} }