DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS

We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.

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Year of publication:	2013
Authors:	ALTAY, SÜHAN ; GERHOLD, STEFAN ; HAIDINGER, RAINER ; HIRHAGER, KARIN
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 16.2013, 08, p. 1350044-1
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Double barrier option \| digital option \| binary option \| structure floor \| occupation time \| corridor option

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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