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A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters

C. F. Lo
Chinese University of Hong Kong (CUHK)

H.C. Lee
Department of Physics

C. H. Hui
Hong Kong Monetary Authority - Research Department


Quantitative Finance, Vol. 3, No. 2, pp. 98-107, 2003

Abstract:     
In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option prices.

Keywords: barrier options, moving boundary, time-dependent parameters

JEL Classifications: F31, G13

Accepted Paper Series

Date posted: May 07, 2007 ; Last revised: May 07, 2007

Suggested Citation

Lo, C. F., Lee, H.C. and Hui, C. H., A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters. Quantitative Finance, Vol. 3, No. 2, pp. 98-107, 2003. Available at SSRN: http://ssrn.com/abstract=984141


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Contact Information

Chi Fai Lo (Contact Author)
Chinese University of Hong Kong (CUHK) ( email )
Department of Physics
Shatin, N.T., Hong Kong China
Cho-Hoi Hui
Hong Kong Monetary Authority - Research Department ( email )
Hong Kong China
H.C. Lee
Department of Physics ( email )
Shatin, N.T.
Hong Kong Hong Kong
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