Other positions of parameters in the asymptotic expansions of Knock-in barrier option prices

Dennis Llemit

Abstract


Joshi's general method for computing the asymptotic expansions of european options was conceived by placing the strike price at the center of the binomial tree [6]. This set-up showed that the errors in approximating the continuous pricing models bydiscrete ones through asymptotic expansion is of order 1/n. In this paper, we find other positions, aside from the center, for the parameters K (strike price) and B (barrier level) in the asymptotic expansions of Knock-in barrier option prices under Joshi's general method. This has been shown to be possible for the case of an Up-and-In Put(UIP) barrier option in the paper done by Llemit and Escaner [1].

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Published: 2013-09-01

How to Cite this Article:

Dennis Llemit, Other positions of parameters in the asymptotic expansions of Knock-in barrier option prices, Math. Finance Lett., 2013 (2013), Article ID 4

Copyright © 2013 Dennis Llemit. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Mathematical Finance Letters

ISSN 2051-2929

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