VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY

DOI10.1111/mafi.12063zbMath1348.91265OpenAlexW1931590282MaRDI QIDQ5739187

Zhanyu Chen, Thorsten Rheinländer, Elisa Alòs

Publication date: 15 July 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12063

zbMATH Keywords

Malliavin calculusself-dualitystochastic volatility modelsbarrier optionsput-call symmetry

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Barrier option pricing under the 2-hypergeometric stochastic volatility model, AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

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