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Pricing double barrier options using Laplace transforms |
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| Authors: | Antoon Pelsser |
| Affiliation: | (1) ABN-Amro Bank, Structured Products Group (AA 4410), P.O.Box 283 1000 EA Amsterdam, The Netherlands (Tel: (31)20–628 7028, Fax: (31)20–691 1705) , NL;(2) Erasmus University Rotterdam, Department of Finance, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands (e-mail: pelsser@few.eur.nl) , NL |
| Abstract: | |
| Keywords: | : Option pricing Laplace transform contour integration |
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