]>Valuing Time-Dependent CEV Barrier Options : Figure 3
359623.fig.003
Figure 3: Barrier tracks for the bounds improved by a three-stage approximation scheme. Upper bound’s track (solid line) and lower bound’s track (long dashed line). Time to maturity is equal to one. Other input parameters are 𝛽 = 1 . 0 , 𝑆 𝑜 = 2 6 , 𝑋 = 2 0 , 𝜎 2 𝐵 𝑆 = 0 . 0 2 , 𝑑 = 0 and 𝑟 = 0 . 0 5 . The values of 𝛾 for the barrier tracks are shown along the tracks.