Pricing discrete barrier options under stochastic volatility (Q1929151): Difference between revisions

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Latest revision as of 01:19, 6 July 2024

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Pricing discrete barrier options under stochastic volatility
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    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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