APPOLLONI, ELISA; GAUDENZI, MARCELLINO; ZANETTE, ANTONINO - In: International Journal of Theoretical and Applied … 17 (2014) 06, pp. 1450035-1
We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem for double barrier options and permits the valuation of step double...