The Barrier Options Prcing Greeks障碍期权定价的希腊人.docxVIP

AbstractThe Barrier Options are attracting more attention in modern financial markets. They have their role-the distinguished one. Pricing issue of Barrier Options is an interesting topic and we attempted to present the Excel model of Barrier Options and corresponding Greeks.Table of ContentsIntroduction ………………………………………………………………….…………..4The Barrier Options.…………5The Pricing of Barrier Options……………..…………………………..…..……....7The Greeks for Barrier Options……………………………………………………9References ---------------------------------------------10IntroductionThe American and European Options play dominant part in modern financial markets. Their pricing models are reviewed by many authors (e.g. Black and Scholes etc). While Exotic Options are employed less frequently, they represent interesting combinations of American and European Options. The Barrier options have a distinct pricing model. This issue is covered in our Excel-based model.The Barrier OptionsThe Barrier Options represent a variety of Exotic Options with a similarity to European/American Options as well. Like American/European Options they also have put and call cases but their worth is path related-they become meaningful once a certain level (Barrier Level) is reached by underliner. There are four main classes of Barrier Options: Up-and-Out: spot price is initially below barrier level and will have to increase, so that the option is knocked-outDown-and-Out: spot price is initially above the barrier level and will have to decrease below it to become worthlessUp-and-In: Initially it is below barrier but will have to move-up to for option to become activeDown-and-In: Initially spot price is above the barrier and has to decrease for option to become activatedThe Pricing of Barrier OptionsSeveral pricing options for Barriers have been suggested, out of which those by Rubienstein and Reimer and by Haug are notable. The combined model is presented below:The prices of Ca