Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214)
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scientific article; zbMATH DE number 6390317
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| English | Efficiently pricing double barrier derivatives in stochastic volatility models |
scientific article; zbMATH DE number 6390317 |
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Efficiently pricing double barrier derivatives in stochastic volatility models (English)
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23 January 2015
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This paper uses ideas of a preceding paper of the last two authors [Stat. Probab. Lett. 82, No. 1, 165--172 (2012; Zbl 1229.91310)] to construct converging series in order to represent prices of barrier derivatives. The underlying is modeled as a stochastic volatility diffusion. The technique used involves computing the Laplace transforms of time changes for several contracts of interest. The authors refer to the paper of \textit{P. Carr} and \textit{R. Lee} [Math. Finance 19, No. 4, 523--560 (2009; Zbl 1184.91198)] for motivation and for the proof of several pricing formulas.
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first passage times
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barrier options
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stochastic volatility
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0.8067360520362854
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0.7906112670898438
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0.784755289554596
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0.7799038887023926
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0.7788863778114319
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