Korean J. Math. Vol. 25 No. 2 (2017) pp.229-246
DOI: https://doi.org/10.11568/kjm.2017.25.2.229

Analytic solutions for American partial barrier options by exponential barriers

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Published: Jun 30, 2017
Keywords:
American option, partial barrier option, exponential barrier
Mathematics Subject Classification:
65C50, 62P20

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Chulhan Bae
NICE P&I Inc Seoul, 07238, Republic of Korea
Doobae Jun
Department of Mathematics and Research Institute of Natural Science Gyeongsang National University Jinju, 52828, Republic of Korea

Abstract

This paper concerns barrier option of American type where the underlying price is monitored during only part of the option's life. Analytic valuation formulas of the American partial barrier options are obtained by approximation method. This approximation method is based on barrier options along with exponential early exercise policies. This result is an extension of Jun and [10] where the exercise policies are constant.


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Supporting Agencies

NRF of Korea

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