Valuation of barrier and lookback options under hybrid CEV and stochastic volatility (Q6104247)
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scientific article; zbMATH DE number 7703422
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of barrier and lookback options under hybrid CEV and stochastic volatility |
scientific article; zbMATH DE number 7703422 |
Statements
Valuation of barrier and lookback options under hybrid CEV and stochastic volatility (English)
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28 June 2023
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asymptotic approximation
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barrier
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down-and-out
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floating strike
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lookback
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Mellin transform
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stochastic volatility
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