scientific article; zbMATH DE number 5846090

MaRDI QIDQ3073111zbMATH OpenFDO

Authors Xian Wen, Guohe Deng, Haifeng Huo

Publication date 5 February 2011

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(14)

• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
• Barrier option pricing when parameters dependent on stock price
• Pricing external barrier options under a stochastic volatility model
• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• Pricing barrier options under stochastic volatility framework
• A generalization of the Hull and White formula with applications to option pricing approximation
• An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
• Pricing European options under stochastic volatilities models
• Monte Carlo simulations with dual variables pricing of barrier options in a stochastic volatility model
• STOCHASTIC VOLATILITY
• Pricing perpetual timer option under the stochastic volatility model of Hull-White
• Pricing of quanto option under the Hull and White stochastic volatility model
• Analytical pricing of single barrier options under local volatility models
• Valuation of FX barrier options under stochastic volatility

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