The evaluation of barrier option prices under stochastic volatility

DOI10.1016/J.CAMWA.2012.03.103zbMATH Open1268.91175OpenAlexW2039766938MaRDI QIDQ356102FDOQ356102

Authors: Carl Chiarella, Boda Kang, Gunter H. Meyer 

Publication date: 25 July 2013

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2012.03.103

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zbMATH Keywords

free boundary problemstochastic volatilitymethod of linesbarrier optioncontinuously monitoreddiscretely monitored

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

Cites Work

• The pricing of options and corporate liabilities
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• A novel pricing method for European options based on Fourier-cosine series expansions
• Free boundary problems with nonlinear source terms
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• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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• The representation of American options prices under stochastic volatility and jump-diffusion dynamics
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• PDE methods for pricing barrier options
• The valuation of American barrier options using the decomposition technique
• A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
• Multi‐asset barrier options and occupation time derivatives

Cited In (32)

• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
• An analytical approximation for single barrier options under stochastic volatility models
• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
• Barrier Option Hedging under Constraints: A Viscosity Approach
• Pricing of timer digital power options based on stochstic volatility
• Title not available (Why is that?)
• A high-order finite difference method for option valuation
• An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code)
• Uncertainty Quantification of Derivative Instruments
• Pricing discretely-monitored double barrier options with small probabilities of execution
• Pricing formula for a barrier call option based on stochastic delay differential equation
• Pricing external barrier options in a regime-switching model
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
• Title not available (Why is that?)
• Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
• Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
• Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk
• Development of computational algorithms for evaluating option prices associated with square-root volatility processes
• NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS
• 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
• Valuation of barrier and lookback options under hybrid CEV and stochastic volatility
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
• An analytical approximation method for pricing barrier options under the double Heston model
• Valuation of FX barrier options under stochastic volatility
• Two asset-barrier option under stochastic volatility
• An iterative splitting method for pricing European options under the Heston model

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