Hi, I like to implement double barrier options using closed box formula. Which is considered the best methodology for this? At present Iam reading " Pricing Double Barrier Options : An Analytical Approach " by Antoon Pelsser.Thanks in advance

Is that a different method or do you mean the same as 'Closed Form', i.e. analytic ?

You might look at:Bhagavatula R., Peter Carr 'Valuing Double Barrier Options with Time Dependent Parameters'Banerjee Pradipto 'Close Form Pricing of Plain & Partial Outside Double Barrier Options' 2/03 Faulhaber Oliver 'Analytic Method for Pricing Double Barrier Options in the Presence of Stochastic Volatility' 7/02 <Heston, Green function, Lipton, Eigenfunction Expansion> Guillaume Tristin 'Window Double Barrier Options' R. Deriv. Research V.6,#1 2003 Hui C. 'One-Touch Double Barrier Binary Option Values' Applied Financial Economics 8/96 V.6 #4Hui C., C. Lo, P. Yuen 'Comment on Pricing Double Barrier Options using Laplace Transforms' Finance & Stochastics (4)2000Jamshidian Farshid 'Note on the Analytical Valuaiton of Double Barrier Options' Sakura 97Kolkiewicz Adam 'Pricing & Hedging More General Double Barrier Options' J. Comp. Finance Spring 02Lin X. Sheldon 'Double Barrier Hitting Time Distribution with Applications to Exotic Options'<Laplace> Insurance:Math. & Econ. 23 (1998)Pelsser Antoon 'Pricing Double Barrier Options using Laplace Transforms' Finance & Stochastics (4)2000Sbuelz Alessandro 'Hedging Double Barriers with Singles' U. Tilburg 4/2001Sidenius Jakob 'Double Barrier Options:Valuation by Path Counting' J. Computational Finance Spring 98

Hi, Thanks for the list of the papers.I was looking for the closed form(analytical) solutions only.Among the papers you had mentioned, I have just two of them. One by Alessandro Sbuelz and the other by Antoon Pelsser.It would be helpful for me if I have the other papers. If you have them please mail them to me.Which is the most popular paper among them?Thanks in advance

all papers are available on world wide web. Now please don't ask what is world wide web. are you in Mumbai,Mr. balaji?jfuqua,I am amazed at your resourcefulness. It seems you have store all the names on a server, if yes then you are required by google scholar. hehe.. great job.cheers

Quote:jfuqua,I am amazed at your resourcefulness. It seems you have store all the names on a server, if yes then you are required by google scholar. hehe.. great job.================== I keep a bibliography of quant. finance. It with other math/physics/economics/finance, is about 13,000 items. It has become harder to keep current with so much now only available on-line----much easier to browse paper journals.

Hi, Before searching the internet I thought I can get help from experienced guys so that I can save time. Thanks for your feedback. Iam in Pune which is near to mumbai.

I urge you to waste some precious time of yours in hunting the papers on the WWW. I think you don't pay for the downloads. It is shameful to ask for papers which are available on the net. Learn to respect the schedules of others.cheers jfuqua,13000 items is a mind blowing number!!great job

Actually I tried to get some possible help since Iam a fresher to the field.Thanks for your suggestionBye

and remember double barriers are a pretty advanced topic, even under geometric brownian motion - lots of the solutions involve infinite series and the trick is discovering how many terms you need to calculate