An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (Q504846): Difference between revisions

@@ Property / DOI @@
-.1016/j.jmaa.2016.11.061
@@ Property / DOI: 10.1016/j.jmaa.2016.11.061 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmaa.2016.11.061
+Normal rank
@@ Property / OpenAlex ID @@
+W2560607161
@@ Property / OpenAlex ID: W2560607161 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q3075650
@@ Property / cites work: Q3075650 / rank @@
+Normal rank
@@ Property / cites work @@
+A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
+Normal rank
@@ Property / cites work @@
+Pricing double-barrier options under a flexible jump diffusion model
+Normal rank
@@ Property / cites work @@
+PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
@@ Property / cites work: PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Efficiently pricing double barrier derivatives in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
+Normal rank
@@ Property / cites work @@
+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
+Normal rank
@@ Property / cites work @@
+Q5437427
@@ Property / cites work: Q5437427 / rank @@
+Normal rank
@@ Property / cites work @@
+An integral equation representation approach for valuing Russian options with a finite time horizon
+Normal rank
@@ Property / cites work @@
+Valuing vulnerable geometric Asian options
@@ Property / cites work: Valuing vulnerable geometric Asian options / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing vulnerable path-dependent options using integral transforms
+Normal rank
@@ Property / cites work @@
+Pricing Options With Curved Boundaries<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Option pricing with Mellin transforms
@@ Property / cites work: Option pricing with Mellin transforms / rank @@
+Normal rank
@@ Property / cites work @@
+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
+Normal rank
@@ Property / cites work @@
+Mellin transform method for European option pricing with Hull-White stochastic interest rate
+Normal rank
@@ Property / cites work @@
+The pricing of vulnerable options with double Mellin transforms
+Normal rank
@@ Property / DOI @@
+.1016/J.JMAA.2016.11.061
@@ Property / DOI: 10.1016/J.JMAA.2016.11.061 / rank @@
+Normal rank