This article deals with the pricing of double-barrier options monitored discretely. A continuity correction method is established to provide an analytical approximation for the price of such discrete options under the Black–Scholes model. We achieve this by applying the smooth-fit principle simultaneously to the two flat boundaries (barriers) associated. The resulting correction form still involves adjustments in the levels of barriers, but the amounts adjusted can be different for different boundaries. More interestingly, the shift for each boundary can also be in different directions, which depends largely on the position of the current level relative to the two boundaries. Numerical examples are provided as well which support our theoretical achievements.

本文涉及离散监控的双障碍期权的定价。建立了一种连续性校正方法，以在 Black-Scholes 模型下为此类离散期权的价格提供解析近似。我们通过将平滑拟合原理同时应用于相关联的两个平坦边界（障碍）来实现这一点。由此产生的修正形式仍然涉及障碍水平的调整，但调整的数量可能因边界不同而不同。更有趣的是，每个边界的偏移也可以在不同的方向上，这在很大程度上取决于当前级别相对于两个边界的位置。还提供了数值示例来支持我们的理论成果。