This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications. Explicit...

In this paper, we show how to obtain explicit formulae for a variety of popular path-dependent contracts with complex payoffs involving joint distributions of several extrema. More specifically, we give formulae for standard step-up and step-down barrier options, as well as partial and outside...

All the explicit formulae for the valuation of lookback and barrier options available in the financial literature assume continuous monitoring of the underlying asset. In practice, however, monitoring is always discrete, and the gap between continuously and discretely monitored option values can...

Double barrier options have been traded for a long time in the markets and they are embedded in a variety of popular structured products. However, in their standard form, they lack flexibility inasmuch as they feature a constant barrier level during the entire option life. Step double barrier...

This paper provides new explicit results for some boundary crossing distributions in a multi-dimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time. Among their various possible applications, they enable accurate and efficient analytical...

This paper deals with a subset of lookback options known as cliquet options. The latter lock in the best underlying asset price over a number of prespecified dates during the option life. The specific uses of these contracts are analyzed, as well as two different hedging techniques. Closed form...