Article ID Journal Published Year Pages File Type
1142833 Operations Research Letters 2009 5 Pages PDF
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
, , ,