A simple approach for pricing barrier options with time-dependent parameters
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.
Volume (Year): 3 (2003)
Issue (Month): 2 ()
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