Pricing double-barrier options under a flexible jump diffusion model

DOI10.1016/j.orl.2009.02.006zbMath1187.91208OpenAlexW1973658242MaRDI QIDQ833566

Xiangwei Wan, Nan Chen, Ning Cai

Publication date: 14 August 2009

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2009.02.006

zbMATH Keywords

first passage timesjump diffusionEuler inversion algorithmdouble-barrier optionshyper-exponential distribution

Mathematics Subject Classification ID

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Cites Work

• A Jump-Diffusion Model for Option Pricing
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• On the controversy over tailweight of distributions.
• The Fourier-series method for inverting transforms of probability distributions
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• Pricing double barrier options using Laplace transforms
• Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• First passage times of a jump diffusion process
• Unnamed Item

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