Pricing Barrier Options with Time–Dependent Coefficients

G. O. Roberts and C. F. Shortland

Mathematical Finance, 1997, vol. 7, issue 1, 83-93

Abstract: We consider the problem of pricing derivative securities which involve a barrier clause. We give general techniques to calculate, or estimate accurately, barrier option prices, using methods for estimating diffusion process boundary hitting times. The solution gives a simple, easy–to–use, method for calculating barrier option prices.

Date: 1997
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