Abstract
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black–Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.
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Schedule a callMore From: International Journal of Theoretical and Applied Finance
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