Pricing engine for double barrier european options using analytical formulae
The formulas are taken from "The complete guide to option pricing formulas
2nd Ed", E.G. Haug, McGraw-Hill, p.156 and following. Implements the Ikeda
and Kunitomo series (see "Pricing Options with Curved Boundaries"
Mathematical Finance 2/1992"). This code handles only flat barriers
note
the formula holds only when strike is in the barrier range
test
the correctness of the returned value is tested by
reproducing results available in literature.
Pricing engine for double barrier european options using analytical formulae
The formulas are taken from "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.156 and following. Implements the Ikeda and Kunitomo series (see "Pricing Options with Curved Boundaries" Mathematical Finance 2/1992"). This code handles only flat barriers
the formula holds only when strike is in the barrier range
the correctness of the returned value is tested by reproducing results available in literature.