Pricing double-barrier options under a flexible jump diffusion model
type: Item
instance of: scholarly article
title: Pricing double-barrier options under a flexible jump diffusion model
zbMATH Open document ID: 1187.91208
author: Ning Cai
author: Nan Chen
author: Xiangwei Wan
published in: Operations Research Letters
publication date: 2009-08-14T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 44A10
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5595305
zbMATH Keywords: double-barrier options
zbMATH Keywords: jump diffusion
zbMATH Keywords: first passage times
zbMATH Keywords: hyper-exponential distribution
zbMATH Keywords: Euler inversion algorithm
MaRDI profile type: Publication
full work available at URL: j.orl.2009.02.006
OpenAlex ID: W1973658242
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cites work: Q4340161
cites work: An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
DOI: 10.1016/J.ORL.2009.02.006
description: scientific article; zbMATH DE number 5595305