Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani

@inproceedings{Xiao2016PricingDD,
  title={Pricing discrete double barrier options under L{\'e}vy processes: An extension of the method by Milev and Tagliani},
  author={Shuang Xiao and Shihua Ma},
  year={2016}
}
We investigate pricing issue of discrete-double barrier options under Levy processes. We first derive an analytical pricing formula, which is no longer applicable when the monitoring frequency becomes large. Therefore, we present a numerical algorithm based on the idea of using discrete variables to approximate continuous ones initiated by Milev and Tagliani (2010) and utilizing adaptive Gauss–Lobatto quadrature with five points to address the integration problem. The method applies for all… CONTINUE READING