Pricing double-barrier options under a flexible jump diffusion model

Ning Cai; Nan Chen; Xiangwei Wan

doi:10.1016/j.orl.2009.02.006

Pricing double-barrier options under a flexible jump diffusion model

Ning Cai
, Nan Chen^*
, Xiangwei Wan

^*Corresponding author for this work

Department of Industrial Engineering and Decision Analytics

Research output: Contribution to journal › Journal Article › peer-review

44 Citations (Scopus)

Abstract

In this paper we present a Laplace transform-based analytical solution for pricing double-barrier options under a flexible hyper-exponential jump diffusion model (HEM). The major theoretical contribution is that we prove non-singularity of a related high-dimensional matrix, which guarantees the existence and uniqueness of the solution.

Original language	English
Pages (from-to)	163-167
Number of pages	5
Journal	Operations Research Letters
Volume	37
Issue number	3
DOIs	https://doi.org/10.1016/j.orl.2009.02.006
Publication status	Published - May 2009

Keywords

Double-barrier options
Euler inversion algorithm
First passage times
Hyper-exponential distribution
Jump diffusion

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10.1016/j.orl.2009.02.006

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title = "Pricing double-barrier options under a flexible jump diffusion model",

abstract = "In this paper we present a Laplace transform-based analytical solution for pricing double-barrier options under a flexible hyper-exponential jump diffusion model (HEM). The major theoretical contribution is that we prove non-singularity of a related high-dimensional matrix, which guarantees the existence and uniqueness of the solution.",

keywords = "Double-barrier options, Euler inversion algorithm, First passage times, Hyper-exponential distribution, Jump diffusion",

author = "Ning Cai and Nan Chen and Xiangwei Wan",

year = "2009",

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T1 - Pricing double-barrier options under a flexible jump diffusion model

AU - Cai, Ning

AU - Chen, Nan

AU - Wan, Xiangwei

PY - 2009/5

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N2 - In this paper we present a Laplace transform-based analytical solution for pricing double-barrier options under a flexible hyper-exponential jump diffusion model (HEM). The major theoretical contribution is that we prove non-singularity of a related high-dimensional matrix, which guarantees the existence and uniqueness of the solution.

AB - In this paper we present a Laplace transform-based analytical solution for pricing double-barrier options under a flexible hyper-exponential jump diffusion model (HEM). The major theoretical contribution is that we prove non-singularity of a related high-dimensional matrix, which guarantees the existence and uniqueness of the solution.

KW - Double-barrier options

KW - Euler inversion algorithm

KW - First passage times

KW - Hyper-exponential distribution

KW - Jump diffusion

UR - https://www.webofscience.com/wos/woscc/full-record/WOS:000266360900005

UR - https://openalex.org/W1973658242

U2 - 10.1016/j.orl.2009.02.006

DO - 10.1016/j.orl.2009.02.006

M3 - Journal Article

SN - 0167-6377

VL - 37

SP - 163

EP - 167

JO - Operations Research Letters

JF - Operations Research Letters

IS - 3

ER -

Pricing double-barrier options under a flexible jump diffusion model

Abstract

Keywords

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