Kim, Jerim; Kim, Jeongsim; Joo Yoo, Hyun; Kim, Bara - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 123-143
External barrier options are two-asset options where the payoff is defined on one asset and the barrier is defined on another asset. In this paper, we derive the Laplace transforms of the prices and deltas for the external single and double barrier options where the underlying asset prices...
