On the Problem of Pricing a Double Barrier Option in a Modified Black-Scholes Environment

DOI10.1007/978-981-19-7014-6_5zbMath1530.91579OpenAlexW4318975617MaRDI QIDQ6193843

G. Venkiteswaran, Swaminathan Udayabaskaran

Publication date: 13 February 2024

Published in: Synergies in Analysis, Discrete Mathematics, Soft Computing and Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-19-7014-6_5

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Pricing double barrier options using Laplace transforms
• Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
• A Simple Model for Option Pricing with Jumping Stochastic Volatility
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Occupation times for two state Markov chains
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries

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