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International Journal of Stochastic Analysis
Table of Contents
Special Issues
International Journal of Stochastic Analysis
/
2014
/
Article
/
Tab 7
/
Research Article
A Semigroup Expansion for Pricing Barrier Options
Table 7
Case 7 (
,
,
,
,
,
).
Strike
Benchmark
Our approximation (
)
Barrier Black-Scholes (
)
100
3.261
3.258 (−0.09%)
3.290 (0.90%)
102
2.640
2.639 (−0.02%)
2.686 (1.78%)
105
1.841
1.841 (0.01%)
1.911 (3.77%)