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Benchmarking exotic double barrier
Posted: June 15th, 2007, 1:06 pm
by harinme
Hai I have just implemented code for exotic double barrier call option where barriers r time dependent ....i.e if it hits lower barrier between 4 or 5 months or upper between 6 or 7 months .......and few more similar conditions Can any one plz. me suggest one suitable method to benchmark this...as I want to be sure it prices correctly Thanx in Advance
Benchmarking exotic double barrier
Posted: June 15th, 2007, 1:18 pm
by LordR
Which model?Look up a paper that considers barrier options with time-dependent barriers (you'll probably just find stuff on single barriers here) and find some benchmark prices.Also, you can benchmark your result against results for double barrier options with a non-varying barrier.
Benchmarking exotic double barrier
Posted: June 15th, 2007, 1:21 pm
by harinme
It was trinomial lattice