… This article develops a new trinomial tree model for barrier options. It is well-known that for
barrier options, the positions of nodes in the tree with respect to the barrier value are critical. …

… how several complex barrier options can be hedged using a portfolio of standard European
options. These hedging strategies only involve trading at a few times during the option’s life. …

Barrier options are path-dependent options which come in various flavours and forms, but …
these types of options are either initiated or exterminated upon reaching a certain barrier level; …

… barriers can be accommodated, as can time-varying barriers. … valuation of two asset barrier
options and the incorporation of … is slightly more complex. We assume that the holder of the …

… with barriers and permits the valuation of more complex barrier contracts such as double-barrier
options and rainbow barrier options… numbers of time steps if the barrier is too close to the …

… Although the payoff functions of non-standard options are often not more complex than that
… The focus of this paper is on the valuation of barrier options. Barrier options are options that …

… Because the model is based on a trinomial lattice, it can be readily adapted to incorporate
American exercise, as well as other more complex contingencies. We therefore anticipate that …

This article considers the pricing and hedging of barrier options in a market in which call
options are liquidly traded and can be used as hedging instruments. This use of call options …

… barrier options can be valued analytically in a very simple way. This speeds up the valuation
dramatically as well as give new insight into barrier option … complex forms of barrier options. …

… complex R&D process in two phases, we propose a generalisation of our results by analysing
the case of a n-fold compound barrier option with an indendent barrier … a barrier option, we …