A simple approach for pricing barrier options with time-dependent parameters
In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option prices.
Year of publication: |
2003
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Authors: | Lo, C. F. ; Lee, H. C. ; Hui, C. H. |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 3.2003, 2, p. 98-107
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Publisher: |
Taylor & Francis Journals |
Saved in:
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