EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Euler summation"
Narrow search

Narrow search

Year of publication
Subject
All
Brownian excursions 1 Double barrier option 1 Euler summation 1 Laplace transform 1 Parisian option 1 numerical inversion 1 option price regularity 1
more ... less ...
Online availability
All
Undetermined 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
LABART, CÉLINE 1 LELONG, JÉRÔME 1
Published in...
All
International Journal of Theoretical and Applied Finance (IJTAF) 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
LABART, CÉLINE; LELONG, JÉRÔME - In: International Journal of Theoretical and Applied … 12 (2009) 01, pp. 19-44
In this article, we study a double barrier version of the standard Parisian options. We give closed formulas for the Laplace transforms of their prices with respect to the maturity time. We explain how to invert them numerically and prove a result on the accuracy of the numerical inversion when...
Persistent link: https://www.econbiz.de/10004977439
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...