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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.
Pelsser, Antoon +1 more
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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.
Dell'Era Mario, M.D.
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A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
Applied Mathematical Finance, 2009 We consider in this article the arbitrage free pricing of double knock-out barrier options with payoffs that are arbitrary functions of the underlying asset, where we allow exponentially time-varying barrier levels in an otherwise standard Black-Scholes ...
Otto Konstandatos
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On pricing double-barrier options with Markov regime switching
Finance Research Letters, 2023Xiaoyuan Zhang
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Pricing discretely-monitored double barrier options with small probabilities of execution [PDF]
European Journal of Operational Research, 2021 In this paper, we propose a new stochastic simulation-based methodology for pricing discretely-monitored double barrier options and estimating the corresponding probabilities of execution.
Athanasios A Pantelous, Xiaoxia Ye
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Multi-step double barrier options
Finance Research Letters, 2022Abstract 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, 2021AbstractA 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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Two-Asset Double Barrier Options
Computational EconomicsHangsuck Lee, Hongjun Ha, Gaeun Lee
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