摘要：In this study we propose an approach to solve a partial differential equation (PDE), the boundary integral method, for the valuation of both discrete and continuous window barrier options, as well as multi-window barrier options within a deterministic term structure of volatility and interest rates. Numerical results reveal that the proposed method yields rapid and highly accurate closed-form approximate solutions. In addition, the term structure will have a significant impact on the valuation.
关键词：Window Barrier Option; Integral Method; Integral Representation; Green’s Function; PDE Approach
