Window double barrier options

Tristan Guillaume ()
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Tristan Guillaume: THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications. Explicit formulae are provided, along with simple techniques for their implementation. Numerical results show that they compare very favourably with alternative pricing approaches in terms of accuracy and efficiency.

Keywords: option; barrier; double barrier; window; pricing; hedging; numerical integration; dimension (search for similar items in EconPapers)
Date: 2003
Note: View the original document on HAL open archive server: https://hal.science/hal-00924247
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Citations: View citations in EconPapers (6)

Published in Review of Derivatives Research, 2003, 6, pp.47-75

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00924247

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