An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
DOI10.1016/J.JMAA.2016.11.061zbMATH Open1354.91151OpenAlexW2560607161MaRDI QIDQ504846FDOQ504846
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Special integral transforms (Legendre, Hilbert, etc.) (44A15)
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
- Pricing double-barrier options under a flexible jump diffusion model
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- Put-call symmetry: extensions and applications
- Pricing Options With Curved Boundaries1
- Efficiently pricing double barrier derivatives in stochastic volatility models
Cited In (15)
- 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
- Pricing external barrier options under a stochastic volatility model
- An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
- Pricing collar options with stochastic volatility
- Closed-form pricing of two-asset barrier options with stochastic covariance
- Pricing double barrier options with fluctuating volatility
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
- On the Problem of Pricing a Double Barrier Option in a Modified Black-Scholes Environment
- Pricing vulnerable path-dependent options using integral transforms
- Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
- Efficiently pricing double barrier derivatives in stochastic volatility models
- Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
- Pricing double volatility barriers option under stochastic volatility
- Design of green bonds by double-barrier options
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