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

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

10 Pages Posted: 7 May 2007

See all articles by Chi-Fai Lo

Chi-Fai Lo

The Chinese University of Hong Kong

H. C. Lee

Department of Physics

Cho-Hoi Hui

Hong Kong Monetary Authority - Research Department

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 Classification: F31, G13

Suggested Citation

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

Chi-Fai Lo (Contact Author)

The Chinese University of Hong Kong ( email )

Department of Physics
Shatin, N.T., Hong Kong
China

H. C. Lee

Department of Physics ( email )

Shatin, N.T.
Hong Kong
Hong Kong

Cho-Hoi Hui

Hong Kong Monetary Authority - Research Department ( email )

Hong Kong
China

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