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A discrete-time algorithm for pricing double barrier options
Decisions in Economics and Finance, 2001A double knock-out European option is an option that expires if the underlying asset price reaches a lower or an upper barrier before maturity. Otherwise, the option payoff at maturity is the same as that of a standard European option. The problem of pricing these options was tackled by Kunimoto and Ikeda (1992) and Geman andYor (1996) who proposed ...
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Probability of multiple crossings and pricing of double barrier options
The North American Journal of Economics and Finance, 2014Abstract This paper derives pricing formulas of standard double barrier option, generalized window double barrier option and chained option. Our method is based on probabilitic approach. We derive the probability of multiple crossings of curved barriers for Brownian motion with drift, by repeatedly applying the Girsanov theorem and the reflection ...
Choe, GH Choe, Geon Ho +1 more
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Double Barrier Options Under Lévy Processes
2006In this paper the problem of determination of the no arbitrage price of double barrier options in the case of stock prices is modelled on Levy processes is considered. Under the assumption of existence of the Equivalent Martingale Measure this problem is reduced to the convolution equation on a finite interval with symbol generated by the ...
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Pricing Double Barrier Options: An Analytical Approach [PDF]
, 1997 Double barrier options have become popular instruments in derivative markets. Several papers_new have already analyseddouble knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) deriveexpressions for the Laplace transform of the double barrrier option price.
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Pricing of Double Barrier Options by Spectral Theory [PDF]
, 2008 We propose to discuss the efficiency of the spectral method for computing the value of Double Barrier Options. Using this method, one may write the option price as a Fourier series, with suitable coefficients. We propose a simple approach for its computing.
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The Pricing and Static Hedging of Multi-Step Double Barrier Options
Finance Research Letters, 2023Hangsuck Lee, Bangwon Ko, Minha Lee
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On pricing double-barrier options with Markov regime switching
Finance Research Letters, 2023Xiaoyuan Zhang, Tianqi Zhang
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Double-barrier lookback options
International Review of Financial AnalysisHangsuck Lee, Minha Lee, Seongjoo Song
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On the valuation of double-barrier options: computational aspects
The Journal of Computational Finance, 2000openaire +2 more sources