| Article ID: | iaor20102963 |
| Volume: | 37 |
| Issue: | 3 |
| Start Page Number: | 163 |
| End Page Number: | 167 |
| Publication Date: | May 2009 |
| Journal: | Operations Research Letters |
| Authors: | Cai Ning, Chen Nan, Wan Xiangwei |
| Keywords: | option pricing |
In this paper we present a Laplace transform-based analytical solution for pricing double-barrier options under a flexible hyper-exponential jump diffusion model (HEM). The major theoretical contribution is that we prove non-singularity of a related high-dimensional matrix, which guarantees the existence and uniqueness of the solution.