%0 Journal Article %A Jin-Chuan Duan %A Evan Dudley %A Geneviève Gauthier %A Jean-Guy Simonato %T Pricing Discretely Monitored Barrier Options by a Markov Chain %D 2003 %R 10.3905/jod.2003.319203 %J The Journal of Derivatives %P 9-31 %V 10 %N 4 %X Barrier options have become commonplace in the option market, and a variety of other financial contracts may also be thought of in terms of barrier options. But the existence of a price barrier can significantly complicate the option valuation problem when volatility is time-varying, or the barrier itself moves over time, or the barrier is only monitored at discrete intervals. In this article, Duan et al. present a new Markov chain technology for pricing barrier options that readily handles all of these problems. Out-and-in options can be valued within their framework even when volatility follows a GARCH process and a discretely monitored time-varying barrier is present. %U https://jod.pm-research.com/content/iijderiv/10/4/9.full.pdf