Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform

By A. Sepp. 2004

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Maximum likelihood estimation of the double exponential jump-diffusion process (2007, methodology): “Using Laplace Transform, Sepp (2004) develops pricing formulas for double barrier options under DEJD.”
VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (2009, unknown): “For the study of the pricing problem for continuously monitored double barrier options in the double-exponential jumpdiffusion model and the relevant background, we refer the reader to Kou (2002), Kou and Wang (2003, 2004), Lipton (2002a,b), Sepp (2004), and Boyarchenko (2006).”
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (2008, background): “It is easy to check that, in the case of exponential upward and downward jumps (n ¼ 1), this result agrees those obtained before by Kou and Wang (2003) and Sepp (2004).”
Credit value adjustment for credit default swaps via the structural default model (2009, background): “…barriers (see, for example, Hyer et al (1998); Hull and White (2001)), sudden jumps in a firm’s value (see, for example, Zhou (2001a); Hilberink and Rogers (2002); Lipton (2002); Lipton et al (2007); Sepp (2004, 2006)) or default barrier uncertainty (see, for example, Finger et al (2002)).”