-
Two Asset Barrier Option Valuation Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Valuation, Economics, Finance
- Item Type:
- Report
- Tag(s):
- derivative valuation, asset pricing, barrier option, valuation model
- Permanent URL:
- https://doi.org/10.17613/yca1-vp13
- Abstract:
- We present a valuation model for pricing two asset barrier options on commodity futures. Applications to commodity futures have a number of specific. The analytical valuation formulas are also implemented. The payoff of a two asset barrier options is made against one of the assets, while the other asset is used to trigger the barrier.
- Notes:
- https://derivatives.hcommons.org/equity-instruments/
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 4 weeks ago
- License:
- All-Rights-Granted
- Share this:
An online community for MLA members
twoassetbarrierpricing.pdf