Study On The Pricing Of Double Barrier Options

This paper studies the pricing of double barrier options.Barrier option is a kind of option with weak dependence path.The key to whether the option can be implemented is whether it touches the barrier level,that is,it is constrained by the barrier.Its main purpose is to control the investors' gains or losses within a certain range.The so-called restriction is the barrier limit that affects the normal execution of options.Based on the pricing of options with two constant knock-out boundary,this paper studies the pricing problem of singular options whose upper knock-out boundary is constant and lower knock-in boundary is a partial differential equation with time-varying indefinite boundary,and studies and proposes a method to solve this problem.The investment of this option is an effective way to avoid market risk.It can effectively respond to the fluctuation of market price and meet the needs of investors to respond to market risk.Through researching the Black-Scholes model of option pricing,this paper first introduces some basic theories to be used in the research,then deduces the pricing formula of unilateral barrier options by using these theories,and then adds another boundary restriction to unilateral barrier options,and studies the pricing model and pricing formula of bilateral barrier options.Among them,the paper focuses on the pricing formula of down-call option and up-call option and applies it to empirical analysis.Python software is used to program,and empirical research is carried out to analyze the relationship between the initial price,execution price and barrier value of assets.