Pricing double volatility barriers option under stochastic volatility (Q5086643)
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scientific article; zbMATH DE number 7553842
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing double volatility barriers option under stochastic volatility |
scientific article; zbMATH DE number 7553842 |
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Pricing double volatility barriers option under stochastic volatility (English)
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6 July 2022
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double volatility barriers option
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stochastic volatility
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risk-neutral pricing
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eigenfunction expansion method
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martingale method
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numerical simulation
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