Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of Derivatives Research 17 (2014) 2, pp. 191-216
Imposing a symmetry condition on returns, Carr and Lee (Math Financ 19(4):523–560, <CitationRef CitationID="CR10">2009</CitationRef>) show that (double) barrier derivatives can be replicated by a portfolio of European options and can thus be priced using fast Fourier techniques (FFT). We show that prices of barrier derivatives in...</citationref>
