Wang, Andrew Ming-Long; Liu, Yu-Hong; Hsiao, Yi-Long - In: Quantitative Finance 9 (2009) 3, pp. 341-352
This paper adapts the hybrid method, a combination of the Laplace transformation and the finite-difference approach, to the pricing of barrier-style options. The hybrid method eliminates the time steps and provides a highly accurate and precise numerical solution that can be rapidly obtained....