Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142833 | Operations Research Letters | 2009 | 5 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Ning Cai, Nan Chen, Xiangwei Wan,