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As a kind of weak-path dependent options, barrier options are an important kind of exotic options. Because the pricing formula for pricing barrier options with discrete observations cannot avoid computing a high dimensional integral, numerical calculation is time-consuming. In the current studies, some scholars just obtained theoretical derivation, or gave some simulation calculations. Others impose underlying assets on some strong assumptions, for example, a lot of calculations are based ondoi:10.4236/ojs.2017.73032 fatcat:qby3qxxcqnhx3mdjiw3l5bzqda