Hangsuck Lee
College of Science - Mathematics, Sungkyunkawn University
Title: Multi-piecewise linear double barrier options
Date: Thursday, April 10th, 2025
Time: 1:30PM (PDT)
Location: ASB 10900
Abstract: A double barrier option offers diverse speculation and risk management opportunities due to its exotic characteristics. An avenue for enhancing its functionality involves considering double barriers with non-standard shapes, moving beyond the conventional flat structure. This paper introduces a multi-piecewise linear double barrier option and derives an explicit pricing formula for it grounded in the analytical probability that the underlying process does not breach the multi-piecewise linear double boundary. Through numerical illustrations, we explore how the configuration of the double barrier influences the option prices.