Digital double barrier options: Several barrier periods and structure floors
Pricing of Securities
2012-07-25 v2 Probability
Abstract
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.
Keywords
Cite
@article{arxiv.1207.4608,
title = {Digital double barrier options: Several barrier periods and structure floors},
author = {Sühan Altay and Stefan Gerhold and Karin Hirhager},
journal= {arXiv preprint arXiv:1207.4608},
year = {2012}
}