Journals
Publish with us
Publishing partnerships
About us
Blog
International Journal of Stochastic Analysis
Table of Contents
Special Issues
International Journal of Stochastic Analysis
/
2014
/
Article
/
Tab 5
/
Research Article
A Semigroup Expansion for Pricing Barrier Options
Table 5
Case 5 (
,
,
,
,
,
).
Strike
Benchmark
Our approximation (
)
Barrier Black-Scholes (
)
100
3.523
3.517 (−0.16%)
3.495 (−0.77%)
102
2.891
2.888 (−0.09%)
2.866 (−0.85%)
105
2.066
2.065 (−0.06%)
2.052 (−0.64%)