Pricing derivatives with barriers in a stochastic interest rate environment
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- Antoon Pelsser, 2000. "Pricing double barrier options using Laplace transforms," Finance and Stochastics, Springer, vol. 4(1), pages 95-104.
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- Sam Howison, 2005. "Matched asymptotic expansions in financial engineering," OFRC Working Papers Series 2005mf01, Oxford Financial Research Centre. Full references (including those not matched with items on IDEAS)
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