LABART, CÉLINE; LELONG, JÉRÔME - In: International Journal of Theoretical and Applied … 12 (2009) 01, pp. 19-44
In this article, we study a double barrier version of the standard Parisian options. We give closed formulas for the Laplace transforms of their prices with respect to the maturity time. We explain how to invert them numerically and prove a result on the accuracy of the numerical inversion when...