• David Lee deposited Digital Barrier Basket Note Valuation in the group Group logo of Scholarly CommunicationScholarly Communication on Humanities Commons 2 years, 4 months ago

    The article presents a model for pricing digital-type barrier options on baskets of equity stocks. Within each payment period, there is a series of basket observation times. If at each observation time we observe that all basket constituent stocks remain between their lower and upper barriers, we receive a fixed coupon amount on the payment date (end of payment period). The start date of each payment period is either the option start date or the previous coupon payment time.