论文标题
双重障碍选项的半分析定价与时间有关的障碍和返回
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
论文作者
论文摘要
我们继续一系列论文，致力于建造半分析解决方案，以实现障碍选项。这些选项写在基础上的一些简单的一因素扩散模型上，但是模型的所有参数以及障碍都与时间有关。我们设法证明，这些解决方案在定价和校准方面比相应的有限差分求解器更有效。在本文中，我们将此技术扩展到定价双重障碍选项，并提出了解决该技术的两种方法：总体积分转换方法和热潜在方法。我们的结果证实，对于双重障碍选项，这些半分析技术也比用于解决此类问题的传统数值方法更有效。
We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diffusion model, but all the parameters of the model as well as the barriers are time-dependent. We managed to show that these solutions are systematically more efficient for pricing and calibration than, eg., the corresponding finite-difference solvers. In this paper we extend this technique to pricing double barrier options and present two approaches to solving it: the General Integral transform method and the Heat Potential method. Our results confirm that for double barrier options these semi-analytic techniques are also more efficient than the traditional numerical methods used to solve this type of problems.
