ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM (Q3022098)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM |
scientific article |
Statements
ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM (English)
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22 June 2005
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jump-diffusion processes
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exponential jumps
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volatility smile
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option pricing
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path-dependent options
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double barrier options
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double touch options
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Laplace transform
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