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ArticlePricing double barrier options using Laplace transforms

Antoon A. J. Pelsser2000

Article2000

Pricing double barrier options using Laplace transforms

Antoon A. J. Pelsser

136 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1973The Pricing of Options and Corporate Liabilities 2005Theory of rational option pricing 1995The Mathematics of Financial Derivatives 1979Path Dependent Options: "Buy at the Low, Sell at the High"1992Pricing Options With Curved Boundaries 1 1996PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH

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2005An exact analytical solution for discrete barrier options 2007THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS 2006Analysis of quadrature methods for pricing discrete barrier options 2009VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES 2009Pricing double-barrier options under a flexible jump diffusion model 2008Advances in Mathematics of Finance 2009A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS 2009Numerical valuation of discrete double barrier options

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2009A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundariesarticle · 5 shared references 1996PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACHarticle · 4 shared references 1999Connecting discrete and continuous path-dependent optionsarticle · 4 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 4 shared references 2003Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approacharticle · 4 shared references 2002Hedging Complex Barrier Optionsarticle · 4 shared references

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Year2000

Typearticle

Published2000-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations136

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050005

openalex_workW2023970747

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