Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214)

This paper uses ideas of a preceding paper of the last two authors [Stat. Probab. Lett. 82, No. 1, 165--172 (2012; Zbl 1229.91310)] to construct converging series in order to represent prices of barrier derivatives. The underlying is modeled as a stochastic volatility diffusion. The technique used involves computing the Laplace transforms of time changes for several contracts of interest. The authors refer to the paper of \textit{P. Carr} and \textit{R. Lee} [Math. Finance 19, No. 4, 523--560 (2009; Zbl 1184.91198)] for motivation and for the proof of several pricing formulas.