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An empirical examination of the pricing of exchange‐traded barrier options

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  • Steve Easton
  • Richard Gerlach
  • Melissa Graham
  • Frank Tuyl

Abstract

Actively traded barrier options were introduced on the Australian Stock Exchange in 1998. This market provides a unique laboratory in which to empirically examine their pricing. This is particularly so given that, for a number of these options, otherwise identical standard European options were simultaneously traded. As a result, the pricing of barrier options may be compared both with their theoretical valuations and with the pricing of otherwise identical European options. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1049–1064, 2004

Suggested Citation

  • Steve Easton & Richard Gerlach & Melissa Graham & Frank Tuyl, 2004. "An empirical examination of the pricing of exchange‐traded barrier options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(11), pages 1049-1064, November.
    • Handle: RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1049-1064
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    Cited by:

    1. Adrian C. H. Lei, 2015. "Price and Volume Effects of Exchange‐Traded Barrier Options: Evidence from Callable Bull/Bear Contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1042-1066, November.
    2. Steve Easton & Richard Gerlach, 2007. "Modelling exchange‐traded barrier options traded in the Australian options market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(1), pages 109-122, March.

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