Pricing and hedging double-barrier options: A probabilistic approach

Mathematical Finance

Volumn 6, Issue 4, 1996, Pages 365-378

  Geman, Hélyette ^a   Yor, Marc ^a  

^a NONE

Author keywords

Cameron Martin theorem; Double barrier option; Geometric Brownian motion; Laplace transform inversion

Indexed keywords

EID: 0030305089     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1996.tb00122.x     Document Type: Article

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