Pricing discrete barrier options under stochastic volatility (Q1929151): Difference between revisions
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Revision as of 20:47, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing discrete barrier options under stochastic volatility |
scientific article |
Statements
Pricing discrete barrier options under stochastic volatility (English)
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7 January 2013
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discrete barrier option
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barrier option
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knock-out option
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double barrier option
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stochastic volatility
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CEV model
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Heston model
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SABR model
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\(\lambda \)-SABR model
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asymptotic expansion
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Malliavin calculus
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