Efficiently pricing double barrier derivatives in stochastic volatility models

Imposing a symmetry condition on returns, Carr and Lee [2009] show that (double) barrier derivatives can be replicated by a portfolio of European options and can thus be priced using fast Fourier techniques (FFT). We show that prices of barrier derivatives in stochastic volatility models can alternatively be represented by rapidly converging series, putting forward an idea by Hieber and Scherer [2012]. This representation turns out to be faster and more accurate than FFT. Numerical examples and a toolbox of a large variety of stochastic volatility models illustrate the practical relevance of the results.