Valuation formulae for window barrier options

Abstract

In this paper we study window barrier options, where a single constant continuously-monitored barrier prevails for a period that commences strictly after the start date of the option and terminates strictly before expiry. We determine valuation formulae within a limited deterministic term-structure in terms of trivariate normal distribution functions. These formulae offer a generalization of the valuation formulae for partial barrier options given by Heynan and Kat.

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