Conference proceedings
Proximity Of Barrier Option Prices In Discrete And Continuous Time
Year:
2009Published in:
5th Conference in Actuarial Science and Finance on Samosbarrier options
path-dependent options
knock-in and knock-out
pricing methods
convergence rate
We estimate the difference between barrier option prices in a continuous time market model and in a discrete time binomial market model. As an auxilliary result, we estimate the difference between barrier option prices in a continuous time market and in a discrete time Gaussian market.