Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou

This paper considers the problem of pricing discrete barrier options. A discrete barrier option is a barrier option where the barrier is monitored only at specific dates. This paper continues the work initiated by Broadie et al. in [B-G-K] and determine formulas to estimate the price of discrete up-and-out/in calls, down-and-out/in puts and double barrier options. Numerical examples presented in this paper show that the formulas yield good results.

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Year of publication:	2002-12-10
Authors:	Hörfelt, Per
Published in:	Finance and Stochastics. - Springer. - Vol. 7.2003, 2, p. 231-243
Publisher:	Springer
Subject:	Option pricing \| discrete barrier options \| heavy traffic approximation

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: February 2001; final version received: April 2002
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005759613