ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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Publication:3022098
DOI10.1142/S0219024904002402zbMath1107.91345OpenAlexW3124505453MaRDI QIDQ3022098
Publication date: 22 June 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024904002402
Laplace transformoption pricingvolatility smilepath-dependent optionsjump-diffusion processesdouble barrier optionsexponential jumpsdouble touch options
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