An analytical approximation for single barrier options under stochastic volatility models

DOI10.1007/s10479-017-2559-3zbMath1417.91499OpenAlexW2732623571MaRDI QIDQ1621902

Tomohide Higuchi, Hideharu Funahashi

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

zbMATH Keywords

analytical approximationWiener-Itô chaos expansionlocal and stochastic volatility modelssingle barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Closed form valuation of barrier options with stochastic barriers ⋮ Pricing double volatility barriers option under stochastic volatility ⋮ Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach ⋮ Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS ⋮ Artificial neural network for option pricing with and without asymptotic correction

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