Multi-step double barrier options

Hangsuck Lee, Himchan Jeong and Minha Lee

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: In this article, we study double barrier options where the upper and lower boundaries are piecewise constant functions with arbitrary number of steps. We provide explicit formulas to price such types of options. On top of its applicability via generalized formulas, it is also shown that multi-step double barrier options can be applied to approximate the prices of options with arbitrary shapes of double barriers. Finally, numerical studies are provided to show validity and applicability of our theoretical findings in practice as well.

Keywords: Brownian motion; Esscher transform; Multi-step double barrier options (search for similar items in EconPapers)
JEL-codes: C65 G13 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321005365
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005365

DOI: 10.1016/j.frl.2021.102587

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().