Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
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Abstract: We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diffusion model, but all the parameters of the model as well as the barriers are time-dependent. We managed to show that these solutions are systematically more efficient for pricing and calibration than, eg., the corresponding finite-difference solvers. In this paper we extend this technique to pricing double barrier options and present two approaches to solving it: the General Integral transform method and the Heat Potential method. Our results confirm that for double barrier options these semi-analytic techniques are also more efficient than the traditional numerical methods used to solve this type of problems.
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Cites work
- scientific article; zbMATH DE number 3470966 (Why is no real title available?)
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- scientific article; zbMATH DE number 3263529 (Why is no real title available?)
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Cited in
(4)- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)
- Valuing double barrier options with time-dependent parameters by Fourier series expansion
- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate
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