Pricing double volatility barriers option under stochastic volatility (Q5086643)
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 7553842
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing double volatility barriers option under stochastic volatility |
scientific article; zbMATH DE number 7553842 |
Statements
Pricing double volatility barriers option under stochastic volatility (English)
0 references
6 July 2022
0 references
double volatility barriers option
0 references
stochastic volatility
0 references
risk-neutral pricing
0 references
eigenfunction expansion method
0 references
martingale method
0 references
numerical simulation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8514324426651001
0 references
0.8352562189102173
0 references
0.8247324824333191
0 references
0.8036413788795471
0 references
