Pricing double barrier options using Laplace transforms

Antoon Pelsser

Finance and Stochastics, 2000, vol. 4, issue 1, 95-104

Abstract: In this paper we address the pricing of double barrier options. To derive the density function of the first-hit times of the barriers, we analytically invert the Laplace transform by contour integration. With these barrier densities, we derive pricing formulÖfor new types of barrier options: knock-out barrier options which pay a rebate when either one of the barriers is hit. Furthermore we discuss more complicated types of barrier options like double knock-in options.

Keywords: Option pricing; Laplace transform; contour integration (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 1999-10-29
Note: received: August 1997; final version received: October 1998
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Citations: View citations in EconPapers (19)

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