Category

Number of Access this item:1,728（2024-04-24 01:46 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/10086/15879

Link to primary information 

File Format Size Views Description
cover_15879 pdf
0100801901 pdf 138 KB 2,579

Item Information

Output File

Title
Edokko Options:A New Framework of Barrier Options
Creator
Creator Name
Fujita, Takahiko Fujita, Takahiko
藤田, 岳彦 藤田, 岳彦
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Miura, Ryozo Miura, Ryozo
三浦, 良造 三浦, 良造
Affiliation
Affiliation Name
Hitotsubashi University
Rights
The original publication is available at www.springerlink.com.
Key Word
α-percentile option
barrier option
Black-Scholes model
Delayed Barrier option
Edokko option
option pricing
Parisian option
Abstract
In this paper, we will give a new framework of barrier options to generalize ‘Parisian Option‘ and ‘Delayed Barrier Option‘. Take a stopping time τ as the caution time. When τ occurs, derivatives are given ‘Caution‘. After τ , if K.O. time σ = σ(τ ) occurs, derivative contracts vanish. We simply say that first ‘Caution‘ second ‘K.O.‘. Using this framework, designs of barrier options become more flexible than before and new risk management will be possible. New barrier options in this category are called Edokko Options or Tokyo Options.
Publisher
Springer Netherlands
Issued Date
2002-06
Language
English(eng)
Resource Type
journal article
Version Type
AM
ISSN
1387-2834
NCID
AA11224457
Source Title
Asia Pacific Financial Markets
Volume Number
9
Issue Number
2
Page Start
141
Page End
151
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/15879