Double Barrier Option

Double Barrier Option

An option contract that may only be exercised if the price for the underlying asset remains within or breaks into a certain range. For example, a double barrier option may specify that the price of the underlying asset must remain between $10 and $15 per share in order for the option to be exercised. This contrasts with a regular barrier option, which specifies only one price. See also: Knock-In, Knock-Out.
References in periodicals archive ?
The Laplace transform methods are applied in the pricing options without early exercise features: Pelsser [2] for pricing double barrier options, Davydov and Linetsky [3] for pricing and hedging path dependent options under constant elasticity of variance (CEV) models, Sepp [4] for pricing double barrier options under double-exponential jump diffusion models, Cai and Kou [5] for pricing European options under mixed-exponential jump diffusion models, and Cai and Kou [6] for pricing Asian options under hyperexponential jump diffusion models.
Pelsser, "Pricing double barrier options using Laplace transforms," Finance and Stochastics, vol.
Wang, "A hybrid finite difference method forpricingtwo-asset double barrier options," Mathematical Problems in Engineering, vol.
[10] derived an analytic formula for pricing double barrier options based on a time-fractional B-S equation.