Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser
AbstractIn this paper we comment on the paper "Pricing Double Barrier Options using Laplace Transforms" by Antoon Pelsser. We illustrate that the same solutions of double barrier option values in terms of Fourier sine series can be obtained by using both Laplace transform and the method of separation of variables. The solutions in terms of the cumulative normal distribution function can be derived by employing the method of reflection. Furthermore, we discuss the numerical characteristics of the pricing solutions.
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 4 (2000)
Issue (Month): 1 ()
Note: received: March 1999; final version received: July 1999
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Web page: http://www.springerlink.com/content/101164/
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