Valuing Double Barrier Options With Time-Dependent Parameters by Fourier Series Expansion
Author | : Chi-Fai Lo |
Publisher | : |
Total Pages | : 5 |
Release | : 2007 |
ISBN-10 | : OCLC:1291168767 |
ISBN-13 | : |
Rating | : 4/5 (67 Downloads) |
Download or read book Valuing Double Barrier Options With Time-Dependent Parameters by Fourier Series Expansion written by Chi-Fai Lo and published by . This book was released on 2007 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.