英文标题：
《Pricing double barrier options on homogeneous diffusions: a Neumann
series of Bessel functions representation》
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作者：
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba, Jos\\\'e
Carlos Dias
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最新提交年份：
2017
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英文摘要：
This paper develops a novel analytically tractable Neumann series of Bessel functions representation for pricing (and hedging) European-style double barrier knock-out options, which can be applied to the whole class of one-dimensional time-homogeneous diffusions even for the cases where the corresponding transition density is not known. The proposed numerical method is shown to be efficient and simple to implement. To illustrate the flexibility and computational power of the algorithm, we develop an extended jump to default model that is able to capture several empirical regularities commonly observed in the literature.
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中文摘要：
本文提出了一种新的分析可处理的贝塞尔函数Neumann级数表示，用于欧式双障碍淘汰期权的定价（和套期保值），它可以应用于整个一维时间齐次扩散类，即使在相应的转移密度未知的情况下。所提出的数值方法被证明是高效和简单的。为了说明该算法的灵活性和计算能力，我们开发了一个扩展的跳转到默认模型，该模型能够捕获文献中常见的一些经验规律。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Analysis of PDEs 偏微分方程分析
分类描述：Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE\'s, conservation laws, qualitative dynamics
存在唯一性，边界条件，线性和非线性算子，稳定性，孤子理论，可积偏微分方程，守恒律，定性动力学
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