%0 Journal Article
%T Digital double barrier options: Several barrier periods and structure floors
%A S¨¹han Altay
%A Stefan Gerhold
%A Karin Hirhager
%J Quantitative Finance
%D 2012
%I arXiv
%X We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put.
%U http://arxiv.org/abs/1207.4608v2