Pricing double-barrier options under a flexible jump diffusion model-Reference-Cited by-同舟云学术

Pricing double-barrier options under a flexible jump diffusion model

Published:2009-05 Issue:3 Volume:37 Page:163-167
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Cai Ning,Chen Nan,Wan Xiangwei

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference14 articles.

1. Pricing options with curved boundaries;Kunitomo;Mathematical Finance,1992

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3. Pricing double barrier options using Laplace transforms;Pelsser;Finance and Stochastics,2000

4. N. Cai, S.G. Kou, Option pricing under a hyper-exponential jump diffusion model, Working Paper of Columbia University and the Hong Kong University of Science and Technology, 2007

5. On the controversy over tailweight of distributions;Heyde;Operations Research Letters,2006

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