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Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser

Author

Listed:
  • C.H. Hui

    () (Banking Policy Department, Hong Kong Monetary Authority, 30/F, 3 Garden Road, Central, Hong Kong, China)

  • P.H. Yuen

    () (Department of Physics, The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong, China Manuscript)

  • C.F. Lo

    () (Department of Physics, The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong, China Manuscript)

Abstract

In 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.

Suggested Citation

  • C.H. Hui & P.H. Yuen & C.F. Lo, 2000. "Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser," Finance and Stochastics, Springer, vol. 4(1), pages 105-107.
  • Handle: RePEc:spr:finsto:v:4:y:2000:i:1:p:105-107
    Note: received: March 1999; final version received: July 1999
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    More about this item

    Keywords

    Barrier options; Black and Scholes model; partial differential equations;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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