Double Barrier Options

finance345 · March 16th, 2003, 4:53 pm

can anyone help? How do you use the Black Scholes equation to price a barrier option whose value is zero if s=L or s=U where L<=S<=U and with payoff V(S,T)=max(S-E,0).I need only find the price in the form of a Laplace transform.THanks

BeautifulMind · March 16th, 2003, 7:15 pm

Have a look at Antoon Pelsser's "Pricing Double Barrier Options using Laplace Transforms".I hope this one could help you... RgdsBM

mrbadguy · March 16th, 2003, 7:37 pm

See this comment to article recommended and pricing of double barrier opts using Green's function.Have a good night.http://www.phy.cuhk.edu.hk/people/teach ... inStoc.pdf