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.

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Year of publication:	1999-10-29
Authors:	Pelsser, Antoon
Published in:	Finance and Stochastics. - Springer. - Vol. 4.2000, 1, p. 95-104
Publisher:	Springer
Subject:	Option pricing \| Laplace transform \| contour integration

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: August 1997; final version received: October 1998
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005390705