The Binomial Interpolated Lattice Method for Step Double Barrier Options

We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the \u201cnear barrier\u201d problem for double barrier options and permits the valuation of step double barrier options with American features. We provide a complete convergence analysis of the proposed lattice algorithm in the European case