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Double knock-out Asian barrier options which widen or contract as they approach maturity

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  • C. Atkinson
  • S. Kazantzaki

Abstract

Barrier options are considered for Asian options using a differential equation method. Solutions are obtained in the form of Fourier series for barriers which expand or contract as they approach maturity. Rigorous bounds are obtained. It is shown that by differentiating with respect to a parameter, solutions for more general payoffs can be obtained.

Suggested Citation

  • C. Atkinson & S. Kazantzaki, 2009. "Double knock-out Asian barrier options which widen or contract as they approach maturity," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 329-340.
    • Handle: RePEc:taf:quantf:v:9:y:2009:i:3:p:329-340
    DOI: 10.1080/14697680802392470
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    References listed on IDEAS

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