Pricing double barrier options with fluctuating volatility

MaRDI QIDQ4648340zbMATH OpenFDO

Authors L. V. Nandakishore, S. Udayabaskaran

Publication date 9 November 2012

Full work available at URL http://www.pphmj.com/abstract/6563.htm

zbMATH Keywords

conditional probability density functionfluctuating volatilitymodified Black-Scholes environment

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Pricing double volatility barriers option under stochastic volatility
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
• Pricing double barrier options
• Pricing double barrier options using Laplace transforms

Cited in

(4)

• Double knock-out Asian barrier options which widen or contract as they approach maturity
• On the Problem of Pricing a Double Barrier Option in a Modified Black-Scholes Environment
• Efficiently pricing double barrier derivatives in stochastic volatility models
• Pricing double volatility barriers option under stochastic volatility

This page was built for publication: Pricing double barrier options with fluctuating volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4648340)