Pricing double barrier options using Laplace transforms
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Publication:1979080
DOI10.1007/s007800050005zbMath0940.91026OpenAlexW2023970747MaRDI QIDQ1979080
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
Numerical methods (including Monte Carlo methods) (91G60) Heat equation (35K05) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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