Pricing multiasset time-varying double-barrier options with time-dependent parameters

This paper proposes the first lattice to price multiasset double-barrier options when barriers, volatilities, correlations, and interest rates are all time varying. The nodes are strategically placed to both match the volatilities and align with the two barriers per asset for fast convergence. The branching probabilities are provably valid. The size of our lattice is (Formula presented.), where (Formula presented.) is the number of time steps and (Formula presented.) is the number of assets, and is only (Formula presented.) for continuously monitored double-barrier knock-out options.