• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Quaterly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Shira. W. Lu
    • Abstracting/ Indexing:  Crossref, Electronic Journals Library , EBSCO
    • E-mail: ijtef.editorial.office@gmail.com
IJTEF 2024 Vol.15(1): 9-13
DOI: 10.18178/ijtef.2024.15.1.763

Barrier Option Pricing With Cash Market Closing

Luo Long
Mathematical Institute, Andrew Wiles Building, Woodstock Road, Oxford, OX2 6GG, UK
Email: luo.long@stx.ox.ac.uk
*Corresponding author

Manuscript received May 30, 2023; revised January 16, 2024; accepted January 29, 2024; published February 6, 2024

Abstract—The vanilla European barrier options on stocks with the condition that the market closes and opens periodically in a day are given analysis. Inspired by Vitalis Siven et al., Barrier options and lumpy dividends 2009, we show that in the Black-Scholes model under the principal risk-neutral analysis with the cash market close, dividend-free barrier option prices can be expressed in terms of well-behaved one- or multidimensional integrals, depending on the number of simulation days. With more than one day, the higher integral dimensions cause more computational power and longer time, but we show that especially for the down-and-out barrier options, the option prices for longer simulation periods can be approximated directly.

Keywords—barrier option, market close, numerical integration, down-and-out call

Cite: Luo Long, " Barrier Option Pricing With Cash Market Closing," International Journal of Trade, Economics and Finance vol.15, no.1, pp. 9-13, 2024.

Copyright © 2024 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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