Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
AbstractThis paper considers the problem of pricing discrete barrier options. A discrete barrier option is a barrier option where the barrier is monitored only at specific dates. This paper continues the work initiated by Broadie et al. in [B-G-K] and determine formulas to estimate the price of discrete up-and-out/in calls, down-and-out/in puts and double barrier options. Numerical examples presented in this paper show that the formulas yield good results.
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 7 (2003)
Issue (Month): 2 ()
Note: received: February 2001; final version received: April 2002
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Web page: http://www.springerlink.com/content/101164/
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