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| Author: | Luo, L. S. J. |
| Title: | Various types of double-barrier options |
| Journal: | Journal of Computational Finance
2001 : SPRING, VOL. 4:3, p. 125-138 |
| Index terms: | OPTIONS OPTION PRICES OPTION VALUATION |
| Language: | eng |
| Abstract: | Closed-form solutions for eight types of European-style double- barrier options are derived. Any double-barrier options are linear combinations of double knock-out options, single-barrier and vanilla options. Error estimates for numerical valuation of double-barrier options are also derived. |
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