Matches in SemOpenAlex for { <https://semopenalex.org/work/W4240780934> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W4240780934 endingPage "96" @default.
- W4240780934 startingPage "55" @default.
- W4240780934 abstract "Motivated by risk management problems with barrier options, we propose a flexible modification of the standard knock-out and knock-in provisions and introduce a family of path-dependent options: step options. They are parametrized by a finite knock-out (knock-in) rate, ρ. For a down-and-out step option, its payoff at expiration is defined as the payoff of an otherwise identical vanilla option discounted by the knock-out factor exp(-ρτB-) or max(1-ρτ-B,0), where τB- is the total time during the contract life that the underlying price was lower than a prespecified barrier level ( occupation time). We derive closed-form pricing formulas for step options with any knock-out rate in the range $[0,∞). For any finite knock-out rate both the step option's value and delta are continuous functions of the underlying price at the barrier. As a result, they can be continuously hedged by trading the underlying asset and borrowing. Their risk management properties make step options attractive “no-regrets” alternatives to standard barrier options. As a by-product, we derive a dynamic almost-replicating trading strategy for standard barrier options by considering a replicating strategy for a step option with high but finite knock-out rate. Finally, a general class of derivatives contingent on occupation times is considered and closed-form pricing formulas are derived." @default.
- W4240780934 created "2022-05-12" @default.
- W4240780934 creator A5049620891 @default.
- W4240780934 date "1999-01-01" @default.
- W4240780934 modified "2023-10-11" @default.
- W4240780934 title "Step Options" @default.
- W4240780934 doi "https://doi.org/10.1111/1467-9965.00063" @default.
- W4240780934 hasPublicationYear "1999" @default.
- W4240780934 type Work @default.
- W4240780934 citedByCount "53" @default.
- W4240780934 countsByYear W42407809342012 @default.
- W4240780934 countsByYear W42407809342013 @default.
- W4240780934 countsByYear W42407809342014 @default.
- W4240780934 countsByYear W42407809342015 @default.
- W4240780934 countsByYear W42407809342016 @default.
- W4240780934 countsByYear W42407809342017 @default.
- W4240780934 countsByYear W42407809342018 @default.
- W4240780934 countsByYear W42407809342019 @default.
- W4240780934 countsByYear W42407809342020 @default.
- W4240780934 countsByYear W42407809342021 @default.
- W4240780934 countsByYear W42407809342022 @default.
- W4240780934 countsByYear W42407809342023 @default.
- W4240780934 crossrefType "journal-article" @default.
- W4240780934 hasAuthorship W4240780934A5049620891 @default.
- W4240780934 hasConcept C138060521 @default.
- W4240780934 hasConcept C144237770 @default.
- W4240780934 hasConcept C149782125 @default.
- W4240780934 hasConcept C162118730 @default.
- W4240780934 hasConcept C162324750 @default.
- W4240780934 hasConcept C185592680 @default.
- W4240780934 hasConcept C1898038 @default.
- W4240780934 hasConcept C194483076 @default.
- W4240780934 hasConcept C22171661 @default.
- W4240780934 hasConcept C2524010 @default.
- W4240780934 hasConcept C2776607717 @default.
- W4240780934 hasConcept C2776631005 @default.
- W4240780934 hasConcept C2777600642 @default.
- W4240780934 hasConcept C2780584464 @default.
- W4240780934 hasConcept C31903555 @default.
- W4240780934 hasConcept C33923547 @default.
- W4240780934 hasConcept C38652104 @default.
- W4240780934 hasConcept C41008148 @default.
- W4240780934 hasConcept C76178495 @default.
- W4240780934 hasConcept C90673727 @default.
- W4240780934 hasConcept C91602232 @default.
- W4240780934 hasConceptScore W4240780934C138060521 @default.
- W4240780934 hasConceptScore W4240780934C144237770 @default.
- W4240780934 hasConceptScore W4240780934C149782125 @default.
- W4240780934 hasConceptScore W4240780934C162118730 @default.
- W4240780934 hasConceptScore W4240780934C162324750 @default.
- W4240780934 hasConceptScore W4240780934C185592680 @default.
- W4240780934 hasConceptScore W4240780934C1898038 @default.
- W4240780934 hasConceptScore W4240780934C194483076 @default.
- W4240780934 hasConceptScore W4240780934C22171661 @default.
- W4240780934 hasConceptScore W4240780934C2524010 @default.
- W4240780934 hasConceptScore W4240780934C2776607717 @default.
- W4240780934 hasConceptScore W4240780934C2776631005 @default.
- W4240780934 hasConceptScore W4240780934C2777600642 @default.
- W4240780934 hasConceptScore W4240780934C2780584464 @default.
- W4240780934 hasConceptScore W4240780934C31903555 @default.
- W4240780934 hasConceptScore W4240780934C33923547 @default.
- W4240780934 hasConceptScore W4240780934C38652104 @default.
- W4240780934 hasConceptScore W4240780934C41008148 @default.
- W4240780934 hasConceptScore W4240780934C76178495 @default.
- W4240780934 hasConceptScore W4240780934C90673727 @default.
- W4240780934 hasConceptScore W4240780934C91602232 @default.
- W4240780934 hasIssue "1" @default.
- W4240780934 hasLocation W42407809341 @default.
- W4240780934 hasOpenAccess W4240780934 @default.
- W4240780934 hasPrimaryLocation W42407809341 @default.
- W4240780934 hasRelatedWork W19259067 @default.
- W4240780934 hasRelatedWork W1930689104 @default.
- W4240780934 hasRelatedWork W2556158610 @default.
- W4240780934 hasRelatedWork W2590563850 @default.
- W4240780934 hasRelatedWork W2927877475 @default.
- W4240780934 hasRelatedWork W2946244885 @default.
- W4240780934 hasRelatedWork W4240780934 @default.
- W4240780934 hasRelatedWork W4248308224 @default.
- W4240780934 hasRelatedWork W4304815520 @default.
- W4240780934 hasRelatedWork W4380046315 @default.
- W4240780934 hasVolume "9" @default.
- W4240780934 isParatext "false" @default.
- W4240780934 isRetracted "false" @default.
- W4240780934 workType "article" @default.