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Digital Barrier Basket Note Valuation
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Derivative securities--Valuation, Options (Finance)
- Item Type:
- Report
- Tag(s):
- barrier option, basket option, basket barrier option, option valuation
- Permanent URL:
- https://doi.org/10.17613/k67x-a256
- Abstract:
- The article presents a model for pricing digital-type barrier options on baskets of equity stocks. Within each payment period, there is a series of basket observation times. If at each observation time we observe that all basket constituent stocks remain between their lower and upper barriers, we receive a fixed coupon amount on the payment date (end of payment period). The start date of each payment period is either the option start date or the previous coupon payment time.
- Notes:
- https://core.ac.uk/download/573470834.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 month ago
- License:
- All-Rights-Granted
digitalbasket.pdf