The evaluation of barrier option prices under stochastic volatility
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Publication:356102
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Cites work
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- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A Fourier-based valuation method for Bermudan and barrier options under Heston's model
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
- A novel pricing method for European options based on Fourier-cosine series expansions
- Free boundary problems with nonlinear source terms
- Multi‐asset barrier options and occupation time derivatives
- PDE methods for pricing barrier options
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- The pricing of options and corporate liabilities
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics
- The valuation of American barrier options using the decomposition technique
Cited in
(37)- Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
- Numerical stability of a hybrid method for pricing options
- scientific article; zbMATH DE number 7673126 (Why is no real title available?)
- Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
- Pricing external barrier options in a regime-switching model
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- A high-order finite difference method for option valuation
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- Development of computational algorithms for evaluating option prices associated with square-root volatility processes
- Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Closed form valuation of barrier options with stochastic barriers
- Fast numerical pricing of barrier options under stochastic volatility and jumps
- Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
- Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps
- Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk
- Valuation of barrier and lookback options under hybrid CEV and stochastic volatility
- An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
- scientific article; zbMATH DE number 5846090 (Why is no real title available?)
- An analytical approximation for single barrier options under stochastic volatility models
- An analytical approximation method for pricing barrier options under the double Heston model
- Barrier Option Hedging under Constraints: A Viscosity Approach
- Uncertainty quantification of derivative instruments
- scientific article; zbMATH DE number 1390103 (Why is no real title available?)
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- scientific article; zbMATH DE number 7266653 (Why is no real title available?)
- Monte Carlo simulations with dual variables pricing of barrier options in a stochastic volatility model
- Valuation of FX barrier options under stochastic volatility
- Pricing of timer digital power options based on stochstic volatility
- Two asset-barrier option under stochastic volatility
- Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
- Pricing double volatility barriers option under stochastic volatility
- PDE methods for pricing barrier options
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- Pricing formula for a barrier call option based on stochastic delay differential equation
- An iterative splitting method for pricing European options under the Heston model
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