- Title
- An empirical examination of the pricing of exchange-traded barrier options
- Creator
- Easton, Stephen Andrew; Gerlach, Richard Helmut; Graham, Melissa; Tuyl, Frank
- Relation
- The Journal of Futures Market Vol. 24, Issue 11, p. 1049-1064
- Publisher Link
- http://dx.doi.org/10.1002/fut.20117
- Publisher
- John Wiley & Sons Inc.
- Resource Type
- journal article
- Date
- 2004
- Description
- Actively traded barrier options were introduced on the Australian Stock Exchange in 1998. This market provides a unique laboratory in which to empirically examine their pricing. This is particularly so given that, for a number of these options, otherwise identical standard European options were simultaneously traded. As a result, the pricing of barrier options may be compared both with their theoretical valuations and with the pricing of otherwise identical European options.
- Subject
- Australian Stock Exchange; 1998; exchange-traded barrier options
- Identifier
- http://hdl.handle.net/1959.13/27561
- Identifier
- uon:1795
- Identifier
- ISSN:0270-7314
- Language
- eng
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