Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit (Q2170290)
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scientific article
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| English | Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit |
scientific article |
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Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit (English)
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30 August 2022
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double barrier options
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time-dependent boundaries
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time-dependent rebates-at-hit
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semi-analytical solution
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one-factor models
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0.9252458
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0.92103267
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0.9101902
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0.9019685
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0.9016533
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0.8990972
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0.89882267
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0.8972806
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