A PDE Method For Pricing A Double Barrier Option

Option pricing problem is very important in finance mathematics. In this paper,we consider pricing a knock-out double barrier option,we take the double barrier option pricing problem boil down to a partial differential equation on initial-boundary value problem,through solve this initial-boundary value problem,we obtain valuation formula of the knock-out double barrier option:we also give a numerical method—general deference method(finite volume element).At last,we discuss option'application in risk management and hedging.