A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters
Author | : Chi-Fai Lo |
Publisher | : |
Total Pages | : 10 |
Release | : 2007 |
ISBN-10 | : OCLC:1291169732 |
ISBN-13 | : |
Rating | : 4/5 (32 Downloads) |
Download or read book A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters written by Chi-Fai Lo and published by . This book was released on 2007 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option prices.