Barrier option pricing under the 2-hypergeometric stochastic volatility model

DOI10.1016/j.cam.2017.06.034zbMath1405.91651arXiv1610.03230MaRDI QIDQ2406299

Manuel C. Guerra, Rúben Sousa, Ana Bela Cruzeiro

Publication date: 27 September 2017

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

Full work available at URL: https://arxiv.org/abs/1610.03230

zbMATH Keywords

stochastic volatility; asymptotic analysis; finance; regular perturbation method; option pricing theory

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

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

35C20: Asymptotic expansions of solutions to PDEs

Related Items

Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model, An analytical approximation method for pricing barrier options under the double Heston model, Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus

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