Journal of Computational Finance

Risk.net

Double barrier options: valuation by path counting

Jakob Sidenius

ABSTRACT

Options involving two barriers, including the case of rebates, are analyzed and analytic valuation formulas given. The analysis is self-contained and intuitive, and relies only on defining properties of Brownian sample paths. The connection with results obtained by Laplace transforms is made explicit.

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

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