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- W2266294006 abstract "This paper investigates the pricing bounds of two one-touch options with the same maturity but different barrier levels, where the pricing bound is a range within which a one-touch option can take a price when a price of another one-touch option is given. The upper or lower bounds are the cost of a super-replicating portfolio and a sub-replicating portfolio respectively. These consist of call options, put options, digital options and a one-touch option. We assume that the underlying process is a continuous martingale, but do not postulate a model." @default.
- W2266294006 created "2016-06-24" @default.
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- W2266294006 date "2013-01-01" @default.
- W2266294006 modified "2023-10-02" @default.
- W2266294006 title "Relative Values of Touch Options with Different Barrier Levels" @default.
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- W2266294006 doi "https://doi.org/10.2139/ssrn.2266711" @default.
- W2266294006 hasPublicationYear "2013" @default.
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