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International Journal of Stochastic Analysis
Table of Contents
Special Issues
International Journal of Stochastic Analysis
/
2014
/
Article
/
Tab 2
/
Research Article
A Semigroup Expansion for Pricing Barrier Options
Table 2
Case 2 (
,
,
,
,
,
).
Strike
Benchmark
Our approximation (
)
Barrier Black-Scholes (
)
100
3.421
3.423 (0.07%)
3.495 (2.18%)
102
2.753
2.757 (0.18%)
2.866 (4.13%)
105
1.885
1.890 (0.23%)
2.052 (8.88%)