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文章基本信息

  • 标题:Pricing of Ratchet Options
  • 本地全文:下载
  • 作者:Soon-Young Chang
  • 期刊名称:Journal of Economic Research
  • 印刷版ISSN:1226-4261
  • 出版年度:1996
  • 卷号:1
  • 期号:1
  • 出版社:Hanyang Economic Research Institute
  • 摘要:

    This study proposed pricing formulas for ratchet options on the basis of 'reflection principles'. Recompositions of ratchet options were made in order to extend to price ratchet options with n barriers and strike prices. The influences of volatilities, maturities and distance between barrier on the value of ratchet options were examined The result showed that the higher the volatility, the longer the maturity, the shorter the distance between two barriers, the more the option value.

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