An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (Q504846)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6675587
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model |
scientific article; zbMATH DE number 6675587 |
Statements
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (English)
0 references
17 January 2017
0 references
double-barrier option
0 references
stochastic volatility
0 references
asymptotic analysis
0 references
Mellin transform method
0 references
0 references
0 references
0 references
0.8514324426651001
0 references
0.8296452164649963
0 references
0.8258394598960876
0 references
0.8249386548995972
0 references
