Closed-Form Approximate Solutions of Window Barrier Options with Term-Structure Volatility and Interest Rates Using the Boundary Integral Method

DOI: 10.4236/jmf.2012.24032   PDF   HTML   XML   7,407 Downloads   11,604 Views   Citations


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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.


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