A Hybrid Finite Difference Method for Pricing Two-Asset Double Barrier Options

Table 1

Accuracy of the valuations of the two-asset double barrier options using the hybrid method.

Current underlying asset prices	×
	4 × 4	0.225100	0.087465	0.124744	0.356570
	8 × 8	0.312565	0.027761	0.037279	0.106559
	16 × 16	0.340326	0.007581	0.009518	0.027206
	32 × 32	0.347907	0.001937	0.001937	0.005537
	64 × 64	0.349844	*	*	*
	4 × 4	0.996184	0.364442	0.468376	0.319807
	8 × 8	1.360626	0.080328	0.103934	0.070966
	16 × 16	1.440954	0.018920	0.023606	0.016118
	32 × 32	1.459874	0.004686	0.004686	0.003200
	64 × 64	1.464560	*	*	*
	4 × 4	1.141040	0.036247	0.048109	0.040457
	8 × 8	1.177287	0.008428	0.011862	0.009975
	16 × 16	1.185715	0.002704	0.003434	0.002888
	32 × 32	1.188419	0.000730	0.000730	0.000614
	64 × 64	1.189149	*	*	*

Option parameters: , , , , , , , , , , and = 1 year.