Comment on ``Pricing double barrier options using Laplace transforms'' by Antoon Pelsser (Q1979082)
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| Language | Label | Description | Also known as |
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| English | Comment on ``Pricing double barrier options using Laplace transforms'' by Antoon Pelsser |
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Comment on ``Pricing double barrier options using Laplace transforms'' by Antoon Pelsser (English)
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24 May 2000
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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.
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barrier options
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Black and Scholes model
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partial differential equations
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