Pricing double barrier options using Laplace transforms
In this paper we address the pricing of double barrier options. To derive the density function of the first-hit times of the barriers, we analytically invert the Laplace transform by contour integration. With these barrier densities, we derive pricing formulÖfor new types of barrier options: knock-out barrier options which pay a rebate when either one of the barriers is hit. Furthermore we discuss more complicated types of barrier options like double knock-in options.
Volume (Year): 4 (2000)
Issue (Month): 1 ()
|Note:||received: August 1997; final version received: October 1998|
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