scientific article; zbMATH DE number 5846090
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Publication:3073111
zbMATH Open1224.62131MaRDI QIDQ3073111FDOQ3073111
Authors: Xian Wen, Guohe Deng, Haifeng Huo
Publication date: 5 February 2011
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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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- Barrier option pricing when parameters dependent on stock price
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- 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
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- Analytical pricing of single barrier options under local volatility models
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