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Paper / 2020SMQ / 119757145935407
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
Andrey Itkin / Dmitry Muravey
option pricingResource overview

Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit

Paper2020

by Andrey Itkin, Dmitry Muravey

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option pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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