Double barrier American put option pricing under uncertain volatility model

El Kharrazi Zaineb, Saoud Sahar () and Mahani Zouhir ()
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El Kharrazi Zaineb: Engineering Sciences and Energy Management Laboratory, National School of Applied Science, Ibn Zohr University, Agadir, Morocco
Saoud Sahar: #x2020;Technical Research Laboratory, Faculty of Applied Sciences, Ibn Zohr University Agadir, Morocco
Mahani Zouhir: Engineering Sciences and Energy Management Laboratory, National School of Applied Science, Ibn Zohr University, Agadir, Morocco

International Journal of Financial Engineering (IJFE), 2021, vol. 08, issue 02, 1-16

Abstract: This paper aims to study the asymptotic behavior of double barrier American-style put option prices under an uncertain volatility model, which degenerates to a single point. We give an approximation of the double barrier American-style option prices with a small volatility interval, expressed by the Black–Scholes–Barenblatt equation. Then, we propose a novel representation for the early exercise boundary of American-style double barrier options in terms of the optimal stopping boundary of a single barrier contract.

Keywords: American put option; Black–Scholes–Barenblatt; double barrier; early exercise boundary; uncertain volatility (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S2424786321500389

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