Double barrier hitting time distributions with applications to exotic options (Q1276457): Difference between revisions

The author derives formulas for the Laplace transforms for random variables representing the first time when the Brownian motion with drift (or geometric Brownian motion) hits one of two barriers without hitting earlier the other. A technique developed by Gerber and Shiu is used. Applications to various exotic options whose payoffs are contingent on barrier hitting times (e.g., lookback spread calls and onion options) are discussed.