Journal of Computational Finance

Risk.net

On the valuation of double-barrier options: computational aspects

Michael Schröder

ABSTRACT

This paper discusses computational consequences of the insight of Schröder (1999) that the pricing of double-barrier options is determined by modular forms. The numerical properties of one of the valuation series of Schröder (1999), together with the corresponding estimate of its convergence rate, are studied in comparison with the Kunitomo-Ikeda valuation series. These numerical properties are determined by the convergence parameter. This new notion depends on the volatility of the underlying, the option's time to maturity, and the logarithms of the upper and lower barrier of the option. The smaller this convergence parameter, the faster is the convergence of pricing series of the Kunitomo-Ikeda type. Analogous results are shown to hold for delta hedging and are illustrated in situations "near the barrier".

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: