AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

DOI10.1142/S021902492050051XzbMath1459.91204OpenAlexW3123842838MaRDI QIDQ5854319

Kenichirpo Shiraya

Publication date: 16 March 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902492050051x

zbMATH Keywords

approximation formulabarrier optionsmulti-assetlocal stochastic volatility models

Mathematics Subject Classification ID

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

Related Items (1)

Artificial neural network for option pricing with and without asymptotic correction

Cites Work

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