Pricing double volatility barriers option under stochastic volatility
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Publication:5086643
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- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
Cites work
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- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
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- Two extensions to barrier option valuation
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Cited in
(14)- Barrier option pricing when parameters dependent on stock price
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- scientific article; zbMATH DE number 7266653 (Why is no real title available?)
- Monte Carlo simulations with dual variables pricing of barrier options in a stochastic volatility model
- Pricing double barrier options with fluctuating volatility
- Pricing double barrier options under a volatility regime-switching model with psychological barriers
- 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
- Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
- Efficiently pricing double barrier derivatives in stochastic volatility models
- Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
- An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
- The evaluation of barrier option prices under stochastic volatility
- Two asset-barrier option under stochastic volatility
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