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

Table 3

The valuations of the two-asset double barrier options with various immediate rebates.

5	10	15	20	25	30
5	3.322664	4.256101	5.189538	6.122976	7.056413	7.989850
10	4.634732	5.567645	6.501082	7.434519	8.367956	9.301394
15	5.946800	6.879713	7.812626	8.746063	9.679500	10.612937
20	7.258868	8.191781	9.124694	10.057607	10.991044	11.924481
25	8.570936	9.503849	10.436762	11.369675	12.302587	13.236025
30	9.883004	10.815917	11.748830	12.681743	13.614655	14.547568

Option parameters: , , , , , , , , , , and = 1 year. The number of nodes: .