This paper conducts a sensitivity analysis on a new class of barrier options,
termed icicled step barrier options. This class of barrier option, introduced by
Lee, Ko, and Song (2018), has embedded barriers whose levels are piecewise
constant functions of time and vertical branches attached to the horizontal
barriers, referred to as icicles. The icicled barrier options can be utilized in
security-linked products with knock-in or knock-out payoff structure. By
comparing the prices under different parameter values, calculated by the explicit
formulas previously derived in Lee et al (2018), we aim to discover the
sensitivity of the icicled barrier option price to each parameter.
Keywords: Barrier Option, Step Barrier Option, Icicled Barrier Option,
Sensitivity Analysis
논문 저자: 김은채 (現 조지아 주립대 박사과정)
지도 교수: 이항석