AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS (Q5854319)
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scientific article; zbMATH DE number 7323554
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS |
scientific article; zbMATH DE number 7323554 |
Statements
AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS (English)
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16 March 2021
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approximation formula
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barrier options
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local stochastic volatility models
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multi-asset
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