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Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach

Journal Article


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Abstract


  • A barrier option is an exotic path-dependent option contract where the right to buy or sell

    is activated or extinguished when the underlying asset reaches a certain barrier price during the

    lifetime of the contract. In this article we use a Mellin transform approach to derive exact pricing

    formulas for barrier options with general payoffs and exponential barriers on underlying assets that

    have jump-diffusion dynamics. With the same approach we also price barrier options on underlying

    futures contracts.

Publication Date


  • 2020

Citation


  • Rodrigo, M. R. (2020). Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach. Mathematics, 8 1271-1-1271-20.

Scopus Eid


  • 2-s2.0-85089742692

Ro Full-text Url


  • https://ro.uow.edu.au/cgi/viewcontent.cgi?article=5286&context=eispapers1

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers1/4258

Start Page


  • 1271-1

End Page


  • 1271-20

Volume


  • 8

Place Of Publication


  • Switzerland

Abstract


  • A barrier option is an exotic path-dependent option contract where the right to buy or sell

    is activated or extinguished when the underlying asset reaches a certain barrier price during the

    lifetime of the contract. In this article we use a Mellin transform approach to derive exact pricing

    formulas for barrier options with general payoffs and exponential barriers on underlying assets that

    have jump-diffusion dynamics. With the same approach we also price barrier options on underlying

    futures contracts.

Publication Date


  • 2020

Citation


  • Rodrigo, M. R. (2020). Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach. Mathematics, 8 1271-1-1271-20.

Scopus Eid


  • 2-s2.0-85089742692

Ro Full-text Url


  • https://ro.uow.edu.au/cgi/viewcontent.cgi?article=5286&context=eispapers1

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers1/4258

Start Page


  • 1271-1

End Page


  • 1271-20

Volume


  • 8

Place Of Publication


  • Switzerland