{"paper":{"title":"Efficient evaluation of double-barrier options and joint cpdf of a L\\'evy process and its two extrema","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR","q-fin.MF"],"primary_cat":"q-fin.CP","authors_text":"Sergei Levendorski\\u{i}, Svetlana Boyarchenko","submitted_at":"2022-10-30T18:08:18Z","abstract_excerpt":"In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of L\\'evy models; the calculations are in the dual space, and the Wiener-Hopf factorization is used. For wide regions in the parameter space, the precision of the order of $10^{-15}$ is achievable in seconds, and of the order of $10^{-9}-10^{-8}$ - in fractions of a second. The Wiener-Hopf factors and repeated integrals in the pricing formulas are calculated using sinh-deformations of the lines of integration, the corresponding changes of variables and the simp"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2211.07765","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2211.07765/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}