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Scientific Paper
  • Venkiteswaran
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The problem of valuing double barrier options in a Black-Scholes environment has been investigated in the past, for a variety of volatility models, ranging from being a constant to stochastically fluctuating type. A closed form solution has also been obtained for the case where the volatility of the stock jumps at a random time between two fixed values. In this paper, we examine the problem of pricing the double barrier option in a Black-Scholes environment, in which the volatility undergoes random jumps at random times and obtain a closed form solution for the option price as a power series.