Pricing double volatility barriers option under stochastic volatility
DOI10.1080/17442508.2020.1773825zbMATH Open1489.91261OpenAlexW3036294524MaRDI QIDQ5086643FDOQ5086643
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
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)
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Cited In (7)
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
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- 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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