Valuation formulae for window barrier options

Grant Armstrong

Applied Mathematical Finance, 2001, vol. 8, issue 4, 197-208

Abstract: In this paper we study window barrier options, where a single constant continuously-monitored barrier prevails for a period that commences strictly after the start date of the option and terminates strictly before expiry. We determine valuation formulae within a limited deterministic term-structure in terms of trivariate normal distribution functions. These formulae offer a generalization of the valuation formulae for partial barrier options given by Heynan and Kat.

Keywords: Window Barrier Options; Convolution Density; Option Valuation Formulae; Trivariate Normal Distribution (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (6)

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DOI: 10.1080/13504860210124607

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