VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY

DOI10.1111/mafi.12063zbMath1348.91265MaRDI QIDQ5739187

Thorsten Rheinländer, Elisa Alòs, Zhanyu Chen

Publication date: 15 July 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12063

zbMATH Keywords

Malliavin calculus; self-duality; stochastic volatility models; barrier options; put-call symmetry

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)

60H07: Stochastic calculus of variations and the Malliavin calculus