Fusai, Gianluca; Abrahams, I.; Sgarra, Carlo - In: Finance and Stochastics 10 (2006) 1, pp. 1-26
In the present paper we provide an analytical solution for pricing discrete barrier options in the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equation that can be solved analytically. We are able to give explicit expressions for the Greeks of the contract. The...