Pricing Barrier Options with Time–Dependent Coefficients

Gareth O. Roberts · C. F. Shortland

62 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

Abstract

We consider the problem of pricing derivative securities which involve a barrier clause. We give general techniques to calculate, or estimate accurately, barrier option prices, using methods for estimating diffusion process boundary hitting times. The solution gives a simple, easy–to–use, method for calculating barrier option prices.

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2007Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries 2013On pricing barrier options with regime switching 2005Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process 2006Barrier options and their static hedges: simple derivations and extensions 1999Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options 2003Time-Dependent Barrier Options and Boundary Crossing Probabilities 2016Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes

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