Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-76829-4_10
Reference27 articles.
1. Kunitomo, N., Ikeda, M.: Pricing options with curved boundaries. Math. Financ. 2(4), 275–298 (1992). https://doi.org/10.1111/j.1467-9965.1992.tb00033.x
2. Geman, H., Yor, M.: Pricing and hedging double-barrier options: a probabilistic approach. Math. Financ. 6(4), 365–378 (1996). https://doi.org/10.1111/j.1467-9965.1996.tb00122.x
3. Sidenius, J.: Double barrier options: valuation by path counting. J. Comput. Financ. 1(3), 63–79 (1998). https://doi.org/10.21314/jcf.1998.012
4. Pelsser, A.: Pricing double barrier options using Laplace transforms. Financ. Stoch. 4(1), 95–104 (2000). https://doi.org/10.1007/s007800050005
5. Baldi, P., Caramellino, L., Iovino, M.G.: Pricing general barrier options: a numerical approach using sharp large deviations. Math. Financ. 9(4), 293–321 (1999). https://doi.org/10.1111/1467-9965.t01-1-00071
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