An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (Q504846)
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scientific article; zbMATH DE number 6675587
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| English | An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model |
scientific article; zbMATH DE number 6675587 |
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An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model (English)
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17 January 2017
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double-barrier option
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stochastic volatility
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asymptotic analysis
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Mellin transform method
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0.8514324426651001
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0.8296452164649963
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0.8258394598960876
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0.8249386548995972
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