Two-Asset Double Barrier Options

被引：0

作者：

Lee, Hangsuck ^{[1
]}

Ha, Hongjun ^{[2
]}

Lee, Gaeun ^{[3
]}

Kong, Byungdoo ^{[4
]}

机构：

[1] Sungkyunkwan Univ, Dept Math Actuarial Sci, 25-2 Sungkyunkwan Ro, Seoul 03063, South Korea

[2] Korea Univ, Dept Stat, Anam Ro 145, Seoul 02841, South Korea

[3] Natl Pens Res Inst, Actuarial Financial Project Div, 411 Hannuri Daero, Sejong 30116, South Korea

[4] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA

来源：

COMPUTATIONAL ECONOMICS | 2024年

基金：

新加坡国家研究基金会;

关键词：

Double barrier options; Overlapping double boundaries; Non-overlapping double boundaries; Non-crossing probability; Two-dimensional Brownian motion; G13; G22; BOUNDARY CROSSING PROBABILITIES;

D O I：

10.1007/s10614-024-10695-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we explore the pricing of two-asset double barrier options. These options feature two double barriers, each corresponding to one of the two underlying assets within a specific time subinterval. They are useful for reducing premiums, hedging, and aligning with investor expectations regarding asset prices. However, pricing these options is challenging due to the assumed correlation between the two asset prices. We derive the non-crossing probability of two-dimensional Brownian motion for non-overlapping double boundaries and use it to establish analytic pricing formulas for two-asset non-overlapping double barrier options. Furthermore, we present a semi-analytic method for pricing a two-asset overlapping double barrier option. Through numerical experiments, we examine the characteristics of option prices and demonstrate the efficiency of the semi-analytic method.

引用

页数：36

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