Multi-piecewise linear double barrier options

doi:10.1016/j.frl.2025.106898

2025-04-01

PRE

DOI：10.1016/j.frl.2025.106898

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摘要

En 中文

双障碍期权因其奇异特性而提供多样化的投机和风险管理机会。提升其功能性的途径之一是考虑具有非标准形状的双障碍，超越传统的平面结构。本文引入了一种多分段线性双障碍期权，并基于基础过程不突破多分段线性双边界的解析概率，推导出其显式定价公式。通过数值示例，我们探讨了双障碍的配置如何影响期权价格。

Keyword:

Brownian motion of piecewise constant drift

Piecewise linear double barrier

Double barrier option

期刊

Finance Research Letters

IF:

6.9

论文数:

9.2K

被引数:

2.8W

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