Pricing double barrier options

zbMATH Open1363.91110MaRDI QIDQ2824904FDOQ2824904

Authors: Bin Peng, Fei Peng 

Publication date: 6 October 2016

Published in: Mathematics in Practice and Theory (Search for Journal in Brave)

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zbMATH Keywords

reflection principlediscrete methoddouble barrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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• DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
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• Double knock-out Asian barrier options which widen or contract as they approach maturity
• Numerical method for discrete double barrier option pricing with time-dependent parameters

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