Search Results - subject:"Step double barrier options"

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Pricing multi-step double barrier options by the efficient non-crossing probability

Lee, Hangsuck; Ha, Hongjun; Kong, Byungdoo; Lee, Minha - In: Finance research letters 54 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472740

Multi-step double barrier options

Lee, Hangsuck; Jeong, Himchan; Lee, Minha - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013457467

THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS

APPOLLONI, ELISA; GAUDENZI, MARCELLINO; ZANETTE, ANTONINO - In: International Journal of Theoretical and Applied … 17 (2014) 06, pp. 1450035-1

We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm … options and permits the valuation of step double barrier options with American features. We provide a complete convergence …

Persistent link: https://www.econbiz.de/10010933657

The binomial interpolated lattice method for step double barrier options

Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-26

Persistent link: https://www.econbiz.de/10010438537