JEANNIN, MARC; PISTORIUS, MARTIJN - In: International Journal of Theoretical and Applied … 13 (2010) 05, pp. 657-681
In this paper, we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters. We obtain an explicit semi-analytical expression for the first-passage probability. The solution rests on a randomization and an...