An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model

DOI10.1016/J.JMAA.2016.11.061MaRDI QIDQ504846zbMATH OpenOpenAlexFDO

Authors Junkee Jeon, Ji-Hun Yoon, Chang-Rae Park

Publication date 17 January 2017

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2016.11.061

zbMATH Keywords

asymptotic analysisstochastic volatilitydouble-barrier optionMellin transform method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Special integral transforms (Legendre, Hilbert, etc.) (44A15)

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Cites work

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• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• An integral equation representation approach for valuing Russian options with a finite time horizon
• Efficiently pricing double barrier derivatives in stochastic volatility models
• Mellin transform method for European option pricing with Hull-White stochastic interest rate
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Option pricing with Mellin transforms
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing double-barrier options under a flexible jump diffusion model
• Pricing vulnerable path-dependent options using integral transforms
• Put-call symmetry: extensions and applications
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities
• The pricing of vulnerable options with double Mellin transforms
• Valuing vulnerable geometric Asian options

Cited in

(15)

• Pricing vulnerable path-dependent options using integral transforms
• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
• An analytical approximation for single barrier options under stochastic volatility models
• Pricing double barrier options with fluctuating volatility
• Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
• On the Problem of Pricing a Double Barrier Option in a Modified Black-Scholes Environment
• Pricing external barrier options under a stochastic volatility model
• Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
• Efficiently pricing double barrier derivatives in stochastic volatility models
• Closed-form pricing of two-asset barrier options with stochastic covariance
• Pricing double volatility barriers option under stochastic volatility
• Pricing collar options with stochastic volatility
• Design of green bonds by double-barrier options

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