Comment on ``Pricing double barrier options using Laplace transforms'' by Antoon Pelsser (Q1979082): Difference between revisions
From MaRDI portal
Changed an Item |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s007800050006 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3124989200 / rank | |||
Normal rank | |||
Latest revision as of 23:01, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comment on ``Pricing double barrier options using Laplace transforms'' by Antoon Pelsser |
scientific article |
Statements
Comment on ``Pricing double barrier options using Laplace transforms'' by Antoon Pelsser (English)
0 references
24 May 2000
0 references
Some comments to the paper by \textit{A. Pelsser} [ibid. 4, 95-104 (2000; Zbl 0940.91027)] are presented. They illustrate that the same solutions of double barrier option values in terms of Fourier sine series can be obtained by using both Laplace transform and the method of separation of variables. The solutions in terms of the cumulative normal distribution function can be derived by employing the method of reflection. Furthermore, we discuss the numerical characteristics of the pricing solutions.
0 references
barrier options
0 references
Black and Scholes model
0 references
partial differential equations
0 references
