Pricing double barrier option

• Main Authors: Ya-ling Sun, 孫雅玲
• Other Authors: Shih-Yu Shen
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/57516550309939540038

碩士 === 國立成功大學 === 數學系應用數學碩博士班 === 95 === This study, a boundary element method is designed to deal with double touch barrier options with rebate. That is, a dobule touch barrier call is knocked out when the price reaches the upper or lower barreir before expiration day, but the seller have to pay rebate to buyer. In this thesis, first the pricing of option、barrier option and double barrier option are reviewed. The black-scholes model is converted to a heat equation boundary value problem. Then use a boundary element method to deal with the bounday value problem and solve the price of continuous double barrier options with rebate. Finally,some sensitive analysis are present.