We present analytical solutions for two-dimensional Laplace transforms of barrier option
prices, as well as an approximation based on Laplace transforms for the prices of finite-time …

Most contracts of barrier and lookback options specify discrete monitoring policies. However,
unlike their continuous counterparts, discrete barrier and lookback options essentially have …

We derive explicit formulas for pricing double (single) barrier and touch options with time-
dependent rebates assuming that the asset price follows a double-exponential jump …

We provide methodologies to price discretely monitored exotic options when the underlying
evolves according to a double exponential jump diffusion process. We show that discrete …

We obtain a closed-form solution for the double-Laplace transform of Asian options under
the hyper-exponential jump diffusion model. Similar results were available previously only in …

Binomial and trinomial lattices are popular techniques for pricing financial options. These
methods work well for European and American options, but for barrier options, the need to …

The problem of pricing a continuous barrier option in a jump-diffusion model is studied. It is
shown that via an effective combination of importance sampling and analytic formulas …

Using the solution of one-sided exit problem, a procedure to price Parisian barrier options in
a jump-diffusion model with two-sided exponential jumps is developed. By extending the …

In this paper we propose a transform method to compute the prices and Greeks of barrier
options driven by a class of Lévy processes. We derive analytical expressions for the …

This paper develops algorithms for the pricing of discretely sampled barrier, lookback, and
hindsight options and discretely exercisable American options. Under the Black-Scholes …