A simple approach for pricing barrier options with time-dependent parameters

C. F. Lo, H. C. Lee and C. H. Hui

Quantitative Finance, 2003, vol. 3, issue 2, 98-107

Abstract: In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option prices.

Date: 2003
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DOI: 10.1088/1469-7688/3/2/304

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