Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters
提出首个能处理障碍、波动率、相关性和利率均随时间变化的多资产双障碍期权定价的格子模型，通过策略性节点布置实现快速收敛。
Abstract This paper proposes the first lattice to price multiasset double‐barrier options when barriers, volatilities, correlations, and interest rates are all time varying. The nodes are strategically placed to both match the volatilities and align with the two barriers per asset for fast convergence. The branching probabilities are provably valid. The size of our lattice is , where is the number of time steps and is the number of assets, and is only for continuously monitored double‐barrier knock‐out options.