In: Non-Gaussian Merton-Black-Scholes Theory
AbstractThe following sections are included:Types of barrier optionsStandard barrier optionsOptions with a rebateDown-and-out call option without a rebateReduction to the boundary problem for the Generalized Black-Scholes equationReduction to the Cauchy problem for an ordinary differential operator with the operator-valued coefficientConstruction of the resolvent, and the Wiener-Hopf factorization with a parameterProof of Eq. (8.17) and continuity of the RHS in Eq. (8.19)Asymptotics of the option price near the barrierCommentary
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