Pricing double barrier options using Laplace transforms

DOI10.1007/S007800050005MaRDI QIDQ1979080zbMATH OpenOpenAlexFDO

Authors Antoon Pelsser

Publication date 24 May 2000

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050005

zbMATH Keywords

Laplace transformoption pricingcontour integration

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Heat equation (35K05) Laplace transform (44A10)

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