Pricing Barrier Options with Time–Dependent Coefficients |
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| Authors: | G O Roberts & C F Shortland |
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| Institution: | Statistical Laboratory, Cambridge, UK,;Monis Software Ltd., London, UK |
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| 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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| Keywords: | boundary hitting time one–dimensional diffusion process Brownian motion |
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