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Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou

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  • Per Hörfelt

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    (Department of Mathematics, Chalmers University of Technology, SE-412 96 Göteborg, Sweden Manuscript)

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    Abstract

    This 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 Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 7 (2003)
    Issue (Month): 2 ()
    Pages: 231-243

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    Handle: RePEc:spr:finsto:v:7:y:2003:i:2:p:231-243

    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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    Related research

    Keywords: Option pricing; discrete barrier options; heavy traffic approximation;

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