Pricing double-barrier options under a flexible jump diffusion model
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Cites work
- scientific article; zbMATH DE number 1022658 (Why is no real title available?)
- A jump-diffusion model for option pricing
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
- First passage times of a jump diffusion process
- Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
- On the controversy over tailweight of distributions.
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Pricing Asian options under a hyper-exponential jump diffusion model
- Pricing Options With Curved Boundaries1
- Pricing double barrier options using Laplace transforms
- The Fourier-series method for inverting transforms of probability distributions
Cited in
(40)- First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
- The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
- Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- European option pricing under the log mean-reverting jump diffusion stochastic volatility model
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- Double-barrier option pricing under the hyper-exponential jump diffusion model
- Asset pricing and simulation analysis based on mixed Gaussian process and jump environment with transaction costs
- Valuing equity-linked annuities under high-water mark fee structure
- First passage probabilities of one-dimensional diffusion processes
- Pricing double barrier options under a volatility regime-switching model with psychological barriers
- Occupation times of refracted double exponential jump diffusion processes
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
- Pricing discretely-monitored double barrier options with small probabilities of execution
- A note on first passage functionals for Lévy processes with jumps of rational Laplace transforms
- On a dual model with barrier strategy
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
- American step options
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- An improved test for continuous local martingales
- The time of deducting fees for variable annuities under the state-dependent fee structure
- Analytic techniques for option pricing under a hyperexponential Lévy model
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Valuing equity-linked death benefits with a threshold expense strategy
- Pricing and hedging of lookback options in hyper-exponential jump diffusion models
- Pricing and hedging of quantile options in a flexible jump diffusion model
- Precautionary measures for credit risk management in jump models
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Continuity correction: on the pricing of discrete double barrier options
- Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
- Bessel processes, stochastic volatility, and timer options
- An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
- Path-dependent option pricing under a two-sided jump-diffusion model
- Pricing dynamic fund protections for a hyperexponential jump diffusion process
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
- On the First Passage Time Under Regime-Switching with Jumps
- Parisian options with jumps: a maturity-excursion randomization approach
- Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
- Design of green bonds by double-barrier options
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