BOYARCHENKO, MITYA; BOYARCHENKO, SVETLANA - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1005-1043
We present a very fast and accurate algorithm for calculating prices of finite lived double barrier options with arbitrary terminal payoff functions under regime-switching hyper-exponential jump-diffusion (HEJD) models, which generalize the double-exponential jump-diffusion model pioneered by...