Pricing external barrier options under a stochastic volatility model

DOI10.1016/J.CAM.2021.113555MaRDI QIDQ2029429zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 3 June 2021

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2021.113555

zbMATH Keywords

asymptotic analysisdouble Mellin transformexternal barrier optionstochastic volatility

Mathematics Subject Classification ID

Laplace transform (44A10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
• Pricing multi-asset options with an external barrier
• Pricing external-chained barrier options with exponential barriers
• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• scientific article; zbMATH DE number 5846090

Cites work

• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
• Fast numerical pricing of barrier options under stochastic volatility and jumps
• Greeks computation in the option pricing problem by means of RBF-PU methods
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Option pricing with Mellin transforms
• Pricing algorithms of multivariate path dependent options
• Pricing external barrier options in a regime-switching model
• Pricing external-chained barrier options with exponential barriers
• Pricing multi-asset options with an external barrier
• Pricing of fixed-strike lookback options on assets with default risk
• Pricing Options With Curved Boundaries¹
• Pricing vulnerable path-dependent options using integral transforms
• Radial basis functions with application to finance: American put option under jump diffusion
• RBF methods in a stochastic volatility framework for Greeks computation
• Singular Perturbations in Option Pricing
• Stochastic differential equations. An introduction with applications.
• The pricing of vulnerable options with double Mellin transforms
• Two extensions to barrier option valuation

Cited in

(24)

• An analytical approximation for single barrier options under stochastic volatility models
• Pricing external barrier options in a regime-switching model
• Parameter identification for portfolio optimization with a slow stochastic factor
• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• Pricing multi-asset options with an external barrier
• Pricing external-chained barrier options with exponential barriers
• scientific article; zbMATH DE number 5846090 (Why is no real title available?)
• An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
• The evaluation of barrier option prices under stochastic volatility
• AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS
• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
• scientific article; zbMATH DE number 7266653 (Why is no real title available?)
• Two asset-barrier option under stochastic volatility
• scientific article; zbMATH DE number 7673126 (Why is no real title available?)
• Valuing of timer path-dependent options
• Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
• The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
• Pricing of timer digital power options based on stochstic volatility
• Pricing of timer volatility-barrier options under Heston's stochastic volatility model
• Pricing power options under stochastic volatility
• Analytical valuation of a general form of barrier option with stochastic interest rate and jumps
• Valuation of American maximum exchange rate quanto lookback options
• Improved accuracy of an analytical approximation for option pricing under stochastic volatility models using deep learning techniques
• Pricing problem of external barrier options in uncertain financial market

This page was built for publication: Pricing external barrier options under a stochastic volatility model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2029429)