An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (Q504846): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 44A15 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6675587 / rank | |||
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double-barrier option | |||
| Property / zbMATH Keywords: double-barrier option / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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asymptotic analysis | |||
| Property / zbMATH Keywords: asymptotic analysis / rank | |||
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Mellin transform method | |||
| Property / zbMATH Keywords: Mellin transform method / rank | |||
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Revision as of 01:17, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model |
scientific article |
Statements
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (English)
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17 January 2017
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double-barrier option
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stochastic volatility
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asymptotic analysis
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Mellin transform method
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