Edokko Options:A New Framework of Barrier Options

• 藤田, 岳彦

  Hitotsubashi University

• 三浦, 良造

  Hitotsubashi University

抄録

In this paper, we will give a new framework of barrier options to generalize ‘Parisian Option‘ and ‘Delayed Barrier Option‘. Take a stopping time τ as the caution time. When τ occurs, derivatives are given ‘Caution‘. After τ , if K.O. time σ = σ(τ ) occurs, derivative contracts vanish. We simply say that first ‘Caution‘ second ‘K.O.‘. Using this framework, designs of barrier options become more flexible than before and new risk management will be possible. New barrier options in this category are called Edokko Options or Tokyo Options.

収録刊行物

• Asia Pacific Financial Markets

  Asia Pacific Financial Markets 9 (2), 141-151, 2002-06

  Springer Netherlands

キーワード

• α-percentile option
• barrier option
• Black-Scholes model
• Delayed Barrier option
• Edokko option
• option pricing
• Parisian option

詳細情報

• CRID: 1050006065579701248
• NII論文ID: 120006933029
• NII書誌ID: AA11224457
• ISSN: 13872834
• HANDLE: 10086/15879
• 本文言語コード: en
• 資料種別: journal article
• データソース種別:
  • IRDB
  • CiNii Articles