Comment on 'Pricing Double Barrier Options Using Laplace Transforms' by Antoon Pelsser
6 Pages Posted: 21 Jul 2008 Last revised: 29 Mar 2011
Date Written: July 8, 1999
In this paper, we comment on the paper "Pricing Double Barrier Options using Laplace Transforms" by Antoon Pelsser. We illustrate that the same solutions of double barrier option values in terms of Fourier sine series can be obtained by using both Laplace transform and the method of separation of variables. The solutions in terms of the cumulative normal distribution function can be derived by employing the method of reflection. Furthermore, we discuss the numerical characteristics of the pricing solutions.
Keywords: Barrier options, Black and Scholes model, partial differential equations
JEL Classification: G13
Suggested Citation: Suggested Citation