An analytical approximation for single barrier options under stochastic volatility models
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Cites work
- A Fourier-based valuation method for Bermudan and barrier options under Heston's model
- A chaos expansion approach under hybrid volatility models
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
- A novel pricing method for European options based on Fourier-cosine series expansions
- Adaptive Monte Carlo Algorithms for Stopped Diffusion
- Analytical pricing of single barrier options under local volatility models
- Does the Hurst index matter for option prices under fractional volatility?
- On a symmetrization of diffusion processes
- Put-call symmetry: extensions and applications
- The evaluation of barrier option prices under stochastic volatility
- The pricing of options and corporate liabilities
- Using equity options to imply credit information
- Weak approximation of killed diffusion using Euler schemes.
Cited in
(14)- Analytical pricing of single barrier options under local volatility models
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- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Closed form valuation of barrier options with stochastic barriers
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
- The evaluation of barrier option prices under stochastic volatility
- Analytic solutions for American partial barrier options by exponential barriers
- Binomial Approximations for Barrier Options of Israeli Style
- An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
- Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity
- Pricing discrete barrier options under stochastic volatility
- Pricing double volatility barriers option under stochastic volatility
- An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
- Artificial neural network for option pricing with and without asymptotic correction
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