PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS (Q3632191)
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scientific article; zbMATH DE number 5567982
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS |
scientific article; zbMATH DE number 5567982 |
Statements
PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS (English)
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23 June 2009
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double barrier option
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Parisian option
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option price regularity
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numerical inversion
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Laplace transform
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Brownian excursions
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Euler summations
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0.8728660345077515
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0.8591477870941162
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0.8491884469985962
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0.8396168947219849
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