Efficient Evaluation of Double-Barrier Options and Joint CPDF of a Levy Process and Its Two Extrema
Efficient Evaluation of Double-Barrier Options and Joint CPDF of a Levy Process and Its Two Extrema
In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of Levy models; the calculations are in the dual space, and the Wiener-Hopf factorization is used. For wide regions in the parameter space, the precision of the order …