Pricing of Discretely Monitored Barrier Options - Improvement of an Approximation Formula
There are many different methods for pricing discretely monitored barrier options. There is a trade-off, however, between speed and accuracy. The players on the financial markets would of course ideally want a method which is both exact and returns a price instantaneously. In this thesis we start from a fast, but on the other hand somewhat less accurate, approximation formula. It will be referred