ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM

DOI10.1142/S0219024904002402zbMath1107.91345OpenAlexW3124505453MaRDI QIDQ3022098

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002402

zbMATH Keywords

Laplace transform option pricing volatility smile path-dependent options jump-diffusion processes double barrier options exponential jumps double touch options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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