Pricing external barrier options under a stochastic volatility model
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Publication:2029429
DOI10.1016/j.cam.2021.113555zbMath1466.91342OpenAlexW3137496709MaRDI QIDQ2029429
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
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
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