An analytical approximation for single barrier options under stochastic volatility models
DOI10.1007/S10479-017-2559-3zbMATH Open1417.91499OpenAlexW2732623571MaRDI QIDQ1621902FDOQ1621902
Authors: Hideharu Funahashi, Tomohide Higuchi 
Publication date: 12 November 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-017-2559-3
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Cites Work
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- Analytical pricing of single barrier options under local volatility models
Cited In (14)
- Artificial neural network for option pricing with and without asymptotic correction
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity
- Pricing discrete barrier options under stochastic volatility
- An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
- An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
- Analytic solutions for American partial barrier options by exponential barriers
- Binomial Approximations for Barrier Options of Israeli Style
- Closed form valuation of barrier options with stochastic barriers
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
- Pricing double volatility barriers option under stochastic volatility
- The evaluation of barrier option prices under stochastic volatility
- Analytical pricing of single barrier options under local volatility models
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
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