Pricing double volatility barriers option under stochastic volatility
DOI10.1080/17442508.2020.1773825zbMath1489.91261OpenAlexW3036294524MaRDI QIDQ5086643
Yuecai Han, Qingshuo Song, Chunyang Liu
Publication date: 6 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2020.1773825
stochastic volatilitynumerical simulationeigenfunction expansion methodmartingale methodrisk-neutral pricingdouble volatility barriers option
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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