A Semigroup Expansion for Pricing Barrier Options

Table 4

Case  4 (, , , , , ).

Strike	Benchmark	Our approximation ()	Barrier Black-Scholes ()
100	2.231	2.224 (−0.31%)	2.268 (1.64%)
102	1.758	1.754 (−0.27%)	1.812 (3.02%)
105	1.172	1.168 (−0.31%)	1.243 (6.05%)