Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Pricing double barrier options using Laplace transforms

6 references·15 citing·38 second hop

FromToDepth

this work references cited by second hop

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
2005Theory of rational option pricing7,161 cited
1995The Mathematics of Financial Derivatives1,037 cited
1979Path Dependent Options: "Buy at the Low, Sell at the High"350 cited
1992Pricing Options With Curved Boundaries 1268 cited
1996PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH229 cited

Cited by

2005An exact analytical solution for discrete barrier options89 cited
2007THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS64 cited
2006Analysis of quadrature methods for pricing discrete barrier options61 cited
2009VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES60 cited
2009Pricing double-barrier options under a flexible jump diffusion model56 cited
2008Advances in Mathematics of Finance46 cited
2009A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS41 cited
2009Numerical valuation of discrete double barrier options37 cited
2011DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

36 cited

2018A Mellin transform approach to barrier option pricing35 cited

2008American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach33 cited

2008Local time and the pricing of time-dependent barrier options32 cited

2010THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING30 cited

2011A note on first-passage times of continuously time-changed Brownian motion26 cited

2008Pricing derivatives with barriers in a stochastic interest rate environment25 cited