Title:

Pricing Double Barrier Options on Homogeneous Diffusions: A Neumann Series of Bessel Functions Representation

Authors:

Igor V. Kravchenko (ISCTE - Instituto Universitário de Lisboa)
Vladislav V. Kravchenko (CINVESTAV, IPN, Ciudad de Mexico)
Sergii M. Torba (CINVESTAV, IPN, Ciudad de Mexico)
José Carlos Dias (ISCTE - Instituto Universitário de Lisboa)

Journal:

International Journal Of Theoretical And Applied Finance

Year:

2019

Volume:

22

Number:

6

Pages:

1-24

JEL code:

G13 - Contingent Pricing; Futures Pricing