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

Table 2

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

Current underlying asset prices	×
	4 × 4
	8 × 8
	16 × 16
	32 × 32
	64 × 64		*	*	*
	4 × 4
	8 × 8
	16 × 16
	32 × 32
	64 × 64		*	*	*
	4 × 4
	8 × 8
	16 × 16
	32 × 32
	64 × 64		*	*	*

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