Pricing double barrier options with fluctuating volatility

zbMATH Open1261.91022MaRDI QIDQ4648340FDOQ4648340

Authors: L. V. Nandakishore, S. Udayabaskaran 

Publication date: 9 November 2012

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

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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)

Cited In (4)

• 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
• Double knock-out Asian barrier options which widen or contract as they approach maturity

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