Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Double barrier options: valuation by path counting
Jakob Sidenius
Abstract
ABSTRACT
Options involving two barriers, including the case of rebates, are analyzed and analytic valuation formulas given. The analysis is self-contained and intuitive, and relies only on defining properties of Brownian sample paths. The connection with results obtained by Laplace transforms is made explicit.
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