The volume of trades in exotic options has increased tremendously in the last decade (Götz et al. [2008b]). The payoff structures of these options could depend not only on several underlyings but also on their maximum or minimum (Bouzoubaa and Osseiran [2010]). These exotic path dependent options provide institutional investors with vehicles to meet their diverse financial needs, e.g. hedging, risk management, or speculation (He et al. [1998]). In this thesis, we first present a closed-form solutions for the framework of n assets and 2 barriers under constant volatility. Additionally, due to the well-known fact that constant covariances are an assumption which is not valid (Götz et al. [2008b]) we extend the framework by allowing stochastic volatility. In summary existing solutions for 2 assets and 2 barriers are extended to n assets.     «

The volume of trades in exotic options has increased tremendously in the last decade (Götz et al. [2008b]). The payoff structures of these options could depend not only on several underlyings but also on their maximum or minimum (Bouzoubaa and Osseiran [2010]). These exotic path dependent options provide institutional investors with vehicles to meet their diverse financial needs, e.g. hedging, risk management, or speculation (He et al. [1998]). In this thesis, we first present a closed-form solu...     »