IDEAS home Printed from
   My bibliography  Save this article

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


  • 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)


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

    Download full text from publisher

    File URL:
    Download Restriction: Access to the full text of the articles in this series is restricted

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


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

    JEL classification:

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


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:4:y:2000:i:1:p:105-107. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.