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I am thinking about pricing a down-and-in and up-and-out double barrier put option under Black-Scholes assumption. The upper barrier is monitored continuously and the lower barrier is monitored discretely. Is it possible to price this option without using MCS? If not, is there any ways to make the simulation more accurate and efficient?

Thanks!

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  • $\begingroup$ I might have misunderstood you, but first thing first you need to clarify under which model you want to price. Is it Black-Scholes, Stochastic vol models, Local vol models etc. I am certain that this form of complex contract doesn't have closed form solution for any models (maybe Black Scholes though). Simulation is probably required $\endgroup$ – Sanjay Aug 31 '19 at 11:04

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