Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
The paper provides a short description of barrier options together with an analysis of their performance compared to the performance of standard options and structured time deposits that incorporate the element of barrier in their construction. The results obtained show that some of considered structured time deposits linked to the foreign exchange rates and standard options could bring some profits unlike the majority of coressponding barrier options. The disadavantage of barrier options is they can stay inactive or a "spike" in the underlying asset price can cause the option to be knocked-out.(original abstract)
Rocznik
Tom
Numer
Strony
398--410
Opis fizyczny
Twórcy
autor
- Warsaw University of Life Sciences - SGGW, Poland
Bibliografia
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- Ong M. (1996) Exotic Options: the Market and Their Taxonomy. The Handbook of Exotic Options, IRWIN, Chicago, 3-44.
- Rashidi Ranjbar H., Seifi A. (2015) A Path-Independent Method for Barrier Option Pricing in Hidden Markov Models. Physica A, 440, 1-8.
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171543340