Digital double barrier options: Several barrier periods and structure floors

Sühan Altay; Stefan Gerhold; Rainer Haidinger; Karin Hirhager

doi:10.1142/S0219024913500441

Digital double barrier options: Several barrier periods and structure floors

Sühan Altay, Stefan Gerhold, Rainer Haidinger, Karin Hirhager

Statistics and Mathematics

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Forschung › Begutachtung

Abstract

We determine the price of digital double barrier options with an arbitrary number of
barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.

Originalsprache	Englisch
Fachzeitschrift	International Journal of Theoretical and Applied Finance
Jahrgang	16
Ausgabenummer	08
DOIs	https://doi.org/10.1142/S0219024913500441
Publikationsstatus	Veröffentlicht - 2013

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Zitat

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abstract = "We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.",

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T1 - Digital double barrier options: Several barrier periods and structure floors

AU - Altay, Sühan

AU - Gerhold, Stefan

AU - Haidinger, Rainer

AU - Hirhager, Karin

PY - 2013

Y1 - 2013

N2 - We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.

AB - We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.

U2 - 10.1142/S0219024913500441

DO - 10.1142/S0219024913500441

M3 - Journal article

SN - 0219-0249

VL - 16

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 08

ER -