Window double barrier options

Tristan Guillaume (1)

1 THEMA - Théorie économique, modélisation et applications

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 their implementation. Numerical results show that they compare very favourably with alternative pricing approaches in terms of accuracy and efficiency.

Mots clés: option; barrier; double barrier; window; pricing; hedging; numerical integration; dimension

Domaines: Economies et finances; Pricing [q-fin.PR]

Tristan Guillaume. Window double barrier options. Review of Derivatives Research, 2003, 6, pp.47-75. ⟨hal-00924247⟩