Pricing double barrier options

MaRDI QIDQ2824904zbMATH OpenFDO

Authors Bin Peng, Fei Peng

Publication date 6 October 2016

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

zbMATH Keywords

reflection principlediscrete methoddouble barrier options

Mathematics Subject Classification ID

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

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Cited in

(21)

• Pricing general barrier options: a numerical approach using sharp large deviations
• DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
• A boundary element method to price time-dependent double barrier options
• Continuity correction: on the pricing of discrete double barrier options
• Outside barrier lookback options with floating strike
• The binomial interpolated lattice method for step double barrier options
• A numerical method for pricing discrete double barrier option by Chebyshev polynomials
• Window double barrier options
• Efficient and fast numerical method for pricing discrete double barrier option by projection method
• Pricing double barrier options with fluctuating volatility
• Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process
• Spectral binomial tree: new algorithms for pricing barrier options
• Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
• A hybrid finite difference method for pricing two-asset double barrier options
• Numerical valuation of discrete double barrier options
• Valuation of continuously monitored double barrier options and related securities
• scientific article; zbMATH DE number 2065147 (Why is no real title available?)
• Design of green bonds by double-barrier options
• HEDGING DOUBLE BARRIERS WITH SINGLES
• 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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