Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps

DOI10.1080/00207160.2016.1210796zbMath1416.91406OpenAlexW2470652588MaRDI QIDQ3174919

Junhao Geng, Su-Mei Zhang

Publication date: 18 July 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2016.1210796

zbMATH Keywords

Monte Carlostochastic volatilityoption pricingjump-diffusionbarrier options

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
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• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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