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 3
/
Research Article
A Semigroup Expansion for Pricing Barrier Options
Table 3
Case 3 (
,
,
,
,
,
).
Strike
Benchmark
Our approximation (
)
Barrier Black-Scholes (
)
100
4.352
4.349 (−0.07%)
4.399 (1.06%)
102
3.585
3.586 (0.02%)
3.665 (2.24%)
105
2.560
2.563 (0.11%)
2.696 (5.31%)