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Window Double Barrier Options
Authors:Guillaume  Tristan
Affiliation:(1) Université de Paris-X, IPAG, Bâtiment A, 200 avenue de la république, 92001 Nanterre Cedex, France
Abstract:
This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications.Explicit formulae are provided, along with simple techniques for theirimplementation. Numerical results show that they compare very favourablywith alternative pricing approaches in terms of accuracy and efficiency.
Keywords:Barrier option  Brownian motion  dimension  numerical integration  option
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