Pricing double volatility barriers option under stochastic volatility
DOI10.1080/17442508.2020.1773825zbMATH Open1489.91261OpenAlexW3036294524MaRDI QIDQ5086643FDOQ5086643
Authors: Yuecai Han, Chunyang Liu, Qingshuo Song 
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
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- scientific article; zbMATH DE number 7266653
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
numerical simulationstochastic volatilitymartingale methodrisk-neutral pricingeigenfunction expansion methoddouble volatility barriers option
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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- Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps
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- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Cited In (7)
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- Title not available (Why is that?)
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
- Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
- Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
- The evaluation of barrier option prices under stochastic volatility
- Two asset-barrier option under stochastic volatility
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