Template-Type:ReDIF-Paper 1.0  
Title: Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk
Author-Name: Dietmar P.J. Leisen
Author-Email: 
Author-Postal:  
Author-Phone:   
Author-Homepage:        
Classification-JEL:  C63, G12, G13
Keywords: binomial model, option valuation, lattice--approach, barrier option
Abstract:  This paper discusses the pitfalls in the pricing of barrier options a
   pproximations of the underlying continuous processes via discrete lattice
   models. These problems are  studied first in a Black-Scholes model. Improvements
   result from a trinomial model and a further modified model where price
   changes occur at the jump times of a Poisson process. After the numerical difficulties
   have been resolved in the  Black-Scholes model, unpredictable discontinuous price
   movements are incorporated.
Length: pages
Creation-Date: 1999-01
Revision-Date: 
Handle: RePEc:bon:bonsfb:446
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb446.pdf
File-Format: application/pdf