Skip navigation
Logo
User training | Reference and search service

Library catalog

Retrievo
EDS
b-on
More
resources
Content aggregators
Please use this identifier to cite or link to this item:

acessibilidade

http://hdl.handle.net/10071/20056
acessibilidade
Title: Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
Authors: Kravchenko, I.
Kravchenko, V. V.
Torba, S. M.
Dias, J. C.
Keywords: Double barrier options
Default
Neumann series of Bessel functions
Sturm-Liouville equations
Spectral decomposition
Transmutation operators
Issue Date: 2019
Publisher: World Scientific Publishing
Abstract: This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional time-homogeneous diffusions, even for the cases where the corresponding transition density is not known. The proposed numerical method is shown to be efficient and simple to implement. To illustrate the flexibility and computational power of the algorithm, we develop an extended jump to default model that is able to capture several empirical regularities commonly observed in the literature.
Peer reviewed: yes
URI: http://hdl.handle.net/10071/20056
DOI: 10.1142/S0219024919500304
ISSN: 0219-0249
Ciência-IUL: https://ciencia.iscte-iul.pt/id/ci-pub-61926
Accession number: WOS:000496559900004
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

Files in This Item:
acessibilidade
File Description SizeFormat 
princing_Dias.pdfPré-print1.37 MBAdobe PDFView/Open


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Currículo DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.