MATHEMATICAL ASPECTS OF BARRIER OPTIONS, THE

This book explains the types of barrier options that are widely traded in Over-the-Counter (OTC) markets and secondary markets. The main objective of the book is to analyze the basic pricing formulae of the different types of barrier options and to produce comprehensive, detailed and explanatory derivations of the pricing formulae.

The book is also aimed at practitioners working in the financial world. The detailed derivation of the formulae will enable the finance practitioners to understand sophisticated financial products better. Also, the book gives the methods on how to hedge the barrier options which are the risky instruments for the writers/ practitioners, particularly when the underlying variable is at the neighborhood of the barrier.

It is also expected that the approach, and especially the clearly applied methods in deriving partial barriers, will help broaden the perspectives of students and academics interest in this subject.

Contents:

• Preface
• About the Author
• List of Figures
• List of Tables
• Mathematical Background
• Extremes of Brownian Motion and Reflection Principle
• The Derivation of Barrier Option Prices
• Why Barriers?
• Partial and Rainbow Barriers
• Double Barrier Options
• Exotic Barriers
• Appendix A: Review of Probability
• Appendix B: Matlab Codes
• Appendix C: European Put-Call Symmetry
• Bibliography
• Index

Readership: For undergraduate and graduate students in Mathematical Finance, Derivatives, Asset Pricing, Quantitative Finance and Exotic Options, as well as professionals in financial institutions.