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Analytical Valuation of Exotic Double Barrier Options
The Journal of Derivatives, 2020This 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 +2 more
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EFFICIENT EVALUATION OF DOUBLE-BARRIER OPTIONS
International Journal of Theoretical and Applied FinanceIn 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 +1 more
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Double Window Barrier Option Valuation
2023We 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.
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Valuation of Continuously Monitored Double Barrier Options and Related Securities
SSRN Electronic Journal, 2009In 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 +1 more
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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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, 2004 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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