A sequential barrier option has two-sided barriers. Unlike the usual doublebarrier options, the order of breaching of

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A sequential barrier option has two-sided barriers. Unlike the usual doublebarrier options, the order of breaching of the barrier is specified. The second barrier is activated only after the first barrier has been hit earlier, and the option is knocked out only if both barriers have been hit in the prespecified order. Construct the explicit finite difference scheme for pricing this sequential barrier option under the Black–Scholes pricing framework (Kwok, Wong and Lau, 2001).

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