VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
提出一种快速准确的定价方法，用于连续时间下具有两个障碍的期权，适用于多种Lévy驱动模型，可定价敲出双障碍看跌/看涨期权和双不触碰期权。
In this paper, we apply Carr's randomization approximation and the operator form of the Wiener‐Hopf method to double barrier options in continuous time. Each step in the resulting backward induction algorithm is solved using a simple iterative procedure that reduces the problem of pricing options with two barriers to pricing a sequence of certain perpetual contingent claims with first‐touch single barrier features. This procedure admits a clear financial interpretation that can be formulated in the language of embedded options. Our approach results in a fast and accurate pricing method that can be used in a rather wide class of Lévy‐driven models including Variance Gamma processes, Normal Inverse Gaussian processes, KoBoL processes, CGMY model, and Kuznetsov's β ‐class. Our method can be applied to double barrier options with arbitrary bounded terminal payoff functions, which, in particular, allows us to price knock‐out double barrier put/call options as well as double‐no‐touch options.