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Multi-step double barrier options
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DOI：10.1016/j.frl.2021.102587.png)
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Abstract
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In this article, we study double barrier options where the upper and lower boundaries are piecewise constant functions with arbitrary number of steps. We provide explicit formulas to price such types of options. On top of its applicability via generalized formulas, it is also shown that multi-step double barrier options can be applied to approximate the prices of options with arbitrary shapes of double barriers. Finally, numerical studies are provided to show validity and applicability of our theoretical findings in practice as well.
Keywords:
Brownian motion
Esscher transform
Multi-step double barrier options
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