ALTAY, SÜHAN; GERHOLD, STEFAN; HAIDINGER, RAINER; … - In: International Journal of Theoretical and Applied … 16 (2013) 08, pp. 1350044-1
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 are switched off in between. As an application, we calculate the value of a structure floor...