The Pricing of A Moving Barrier Option
arXiv:1303.1296 · doi:10.2139/ssrn.742924
Abstract
We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relation with risk free rate, dividend rate and stock volatility.
11 pages, written in working paper series in 2004