Valuing Double Barrier Options With Time-Dependent Parameters by Fourier Series Expansion

Based upon the Fourier series expansion, we propose a simple and easy-to-use approach for computing accurate estimates of Black-Scholes double barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds of the exact barrier option prices. Furthermore, this approach can be straightforwardly extended to the valuation of standard European options with specified moving boundaries as well

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Year of publication:	[2007]
Authors:	Lo, Chi-Fai
Other Persons:	Hui, Cho-Hoi (contributor)
Publisher:	[2007]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (5 p)
Type of publication:	Book / Working Paper
Notes:	In: IAENG International Journal of Applied Mathematics, Vol. 36, No. 1, 2007
Classification:	C60 - Mathematical Methods and Programming. General ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012776285