PT - JOURNAL ARTICLE AU - Jin-Chuan Duan AU - Evan Dudley AU - Geneviève Gauthier AU - Jean-Guy Simonato TI - Pricing Discretely Monitored Barrier Options by a Markov Chain AID - 10.3905/jod.2003.319203 DP - 2003 May 31 TA - The Journal of Derivatives PG - 9--31 VI - 10 IP - 4 4099 - https://pm-research.com/content/10/4/9.short 4100 - https://pm-research.com/content/10/4/9.full AB - 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.