Valuing Double Barrier Options with Time-Dependent Parameters
نویسندگان
چکیده
Based upon the Fourier series expansion, we propose a simple and easy-to-use approach for computing accurate estimates of Black-Scholes double barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds of the exact barrier option prices. Furthermore, this approach can be straightforwardly extended to the valuation of standard European options with specified moving boundaries as well.
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