Comment on ``Pricing double barrier options using Laplace transforms'' by Antoon Pelsser
type: Item
instance of: scholarly article
title: Comment on ``Pricing double barrier options using Laplace transforms'' by Antoon Pelsser
zbMATH Open document ID: 0940.91023
author: P. H. Yuen
author: Cho-Hoi Hui
author: Chi-Fai Lo
published in: Finance and Stochastics
publication date: 2000-05-24T00:00:00Z
review text: Some comments to the paper by \textit{A. Pelsser} [ibid. 4, 95-104 (2000; Zbl 0940.91027)] are presented. They illustrate that the same solutions of double barrier option values in terms of Fourier sine series can be obtained by using both Laplace transform and the method of separation of variables. The solutions in terms of the cumulative normal distribution function can be derived by employing the method of reflection. Furthermore, we discuss the numerical characteristics of the pricing solutions.
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 35K20
Mathematics Subject Classification ID: 35K15
zbMATH DE Number: 1452417
zbMATH Keywords: barrier options
zbMATH Keywords: Black and Scholes model
zbMATH Keywords: partial differential equations
MaRDI profile type: Publication
full work available at URL: s007800050006
OpenAlex ID: W3124989200
DOI: 10.1007/S007800050006
description: scientific article; zbMATH DE number 1452417