Corpus ID: 235254624

Multi-step Reflection Principle and Barrier Options

  title={Multi-step Reflection Principle and Barrier Options},
  author={Hangsuck Lee and G. Lee and Seongjoo Song},
Correspondence Seongjoo Song, Department of Statistics, Korea University, Anam-Ro 145, Seongbuk-Gu, Seoul 02841, Korea Email: This paper examines a class of barrier options–multi-step barrier options, which can have any finite number of barriers of any level. We obtain a general, explicit expression of option prices of this type under the Black-Scholes model. Multi-step barrier options are not only useful in that they can handle barriers of different levels and time steps… Expand

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