Pricing double-barrier options under a flexible jump diffusion model
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Publication:833566
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
first passage timesjump diffusionEuler inversion algorithmdouble-barrier optionshyper-exponential distribution
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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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