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Double Window Barrier Option Valuation [PDF]

, 2023
We offer a hybrid (trinomial tree plus semi-analytic formulas) pricing method for FX Double Window Double Barrier option . Currently, the model uses spot implied volatility for the first time window, and forward implied volatility for the second time window.
David Lee
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A boundary element method to price time-dependent double barrier options

Applied Mathematics and Computation, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
BALLESTRA, LUCA VINCENZO, Pacelli, Graziella   +1 more
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On pricing of vulnerable barrier options and vulnerable double barrier options

Finance Research Letters, 2022
Abstract In this paper, we provide analytical pricing formulae of vulnerable barrier options and vulnerable double barrier options. To obtain the price of vulnerable double barrier options, we give the joint distribution of a special range of the two-dimensional correlated Brownian motions. This result is of independent interest. Based on the derived
Heqian Wang, Jiayi Zhang, Ke Zhou
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Multi-step double barrier options

Finance Research Letters, 2022
Abstract In this article, we study double barrier options where the upper and lower boundaries are piecewise constant functions with arbitrary number of steps. We provide explicit formulas to price such types of options. On top of its applicability via generalized formulas, it is also shown that multi-step double barrier options can be applied to ...
Hangsuck Lee, Himchan Jeong, Minha Lee
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Piecewise linear double barrier options

Journal of Futures Markets, 2021
AbstractA piecewise linear double barrier option generalizes classical double barrier options because of its versatility in designing various double boundaries. This paper discusses how to price piecewise linear double barrier options. To this purpose, we derive the probability that an underlying process does not cross a given piecewise linear double ...
Hangsuck Lee, Hongjun Ha, Minha Lee
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Analytical Valuation of Exotic Double Barrier Options

The Journal of Derivatives, 2020
This article derives the bivariate joint probability distribution functions of a geometric Brownian motion and the extreme values of another geometric Brownian. Based on the probability distribution functions, the authors develop the analytical pricing formulas of three exotic double barrier options (DBOs) with continuously monitored barriers ...
Jui-Jane Chang, Hui-Ming Pai, Ting-Pin Wu   +2 more
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EFFICIENT EVALUATION OF DOUBLE-BARRIER OPTIONS

International Journal of Theoretical and Applied Finance
In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of Lévy models; the calculations are in the dual space, and the Wiener–Hopf factorization is used. For wide regions in the parameter space, the precision of the order of [Formula: see text] is achievable in seconds ...
SVETLANA BOYARCHENKO, SERGEI LEVENDORSKIĬ   +1 more
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Pricing double barrier options using Laplace transforms [PDF]

Finance and Stochastics, 2000
Barrier options have become very popular instruments in derivative markets as they are cheaper than standard options but offer a similar kind of protection. It is relatively straightforward to price and hedge ``single barrier'' options. A natural extension to ``single barrier'' options is double barrier options.
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Valuation of Continuously Monitored Double Barrier Options and Related Securities

SSRN Electronic Journal, 2009
In this paper, we apply Carr's randomization approximation and the operator form of the Wiener‐Hopf method to double barrier options in continuous time. Each step in the resulting backward induction algorithm is solved using a simple iterative procedure that reduces the problem of pricing options with two barriers to pricing a sequence of certain ...
Boyarchenko, Mitya, Levendorskiĭ, Sergei   +1 more
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Static Hedging Methods for Pricing Double Barrier Options

2022
Abstract This research applies a static hedging portfolio method derived from Derman, Ergener, and Kani (1995) (henceforth Derman's SHP method) and a new SHP method with European cash-or-nothing binary options developed by Chung, Shih, and Tsai (2013) to price European continuous double barrier (ECDB) options and the rebates of the ...
Yi-Ling Chen, Hong-Yu Luo, Wei-Che Tsai, Hang Zhang   +3 more
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