Pricing external barrier options under a stochastic volatility model

DOI10.1016/j.cam.2021.113555zbMath1466.91342OpenAlexW3137496709MaRDI QIDQ2029429

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

stochastic volatilityasymptotic analysisdouble Mellin transformexternal barrier option

Mathematics Subject Classification ID

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

Related Items (5)

Valuing of timer path-dependent options ⋮ Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Parameter identification for portfolio optimization with a slow stochastic factor

Cites Work

• Unnamed Item
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