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Digital double barrier options: Several barrier periods and structure floors
Double barrier option tructure floor occupation time corridor option.
2012/9/14
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but...
Binomial Approximations for Barrier Options of Israeli Style
barrier game options Dynkin games shortfall risk binomial approximations Skorokhod embedding
2010/11/1
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black–Scholes (BS) market converge to the corresponding quantities for similar...
Continuously monitored barrier options under Markov processes
Continuously monitored barrier options Markov processes
2010/11/2
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely...
Binomial Lattices for Barrier Options
Barrier option binomial tree convergence rate transition probability
2010/9/7
In the existing literature on barrier options, much effort has been exerted to ensure convergence through placing the barrier in close proximity to, or directly onto, the nodes of the tree lattice. In...