Window Double Barrier Options

Author: Guillaume T.

Source: Review of Derivatives Research, Volume 6, Number 1, January 2003 , pp. 47-75(29)

Publisher: Springer

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Abstract:

This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications. Explicit formulae are provided, along with simple techniques for their implementation. Numerical results show that they compare very favourably with alternative pricing approaches in terms of accuracy and efficiency.

Keywords: Barrier option; Brownian motion; dimension; numerical integration; option

Language: English

Document Type: Research article

Affiliations: 1: Université de Paris-X, IPAG, Bâtiment A, 200 avenue de la république, 92001 Nanterre Cedex, France. E-mail: tristanguillaume@aol.com

Publication date: 2003-01-01