Double knock-out Asian barrier options which widen or contract as they approach maturity

C. Atkinson and S. Kazantzaki

Quantitative Finance, 2009, vol. 9, issue 3, 329-340

Abstract: Barrier options are considered for Asian options using a differential equation method. Solutions are obtained in the form of Fourier series for barriers which expand or contract as they approach maturity. Rigorous bounds are obtained. It is shown that by differentiating with respect to a parameter, solutions for more general payoffs can be obtained.

Keywords: Barrier options; Asian options; Differential equation method (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1080/14697680802392470

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