Closed-Form Approximate Solutions of Window Barrier Options with Term-Structure Volatility and Interest Rates Using the Boundary Integral Method ()
ABSTRACT
In this study we propose an approach to solve a partial differential equation (PDE), the boundary integral method, for the valuation of both discrete and continuous window barrier options, as well as multi-window barrier options within a deterministic term structure of volatility and interest rates. Numerical results reveal that the proposed method yields rapid and highly accurate closed-form approximate solutions. In addition, the term structure will have a significant impact on the valuation.
Share and Cite:
Y. Hsiao, "Closed-Form Approximate Solutions of Window Barrier Options with Term-Structure Volatility and Interest Rates Using the Boundary Integral Method,"
Journal of Mathematical Finance, Vol. 2 No. 4, 2012, pp. 291-302. doi:
10.4236/jmf.2012.24032.