Valuation of barrier and lookback options under hybrid CEV and stochastic volatility

DOI10.1016/j.matcom.2023.01.035MaRDI QIDQ6104247

Jeong-Hoon Kim, Wen-Jun Zhang, Jiling Cao, Xi Li

Publication date: 28 June 2023

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Mellin transformstochastic volatilityasymptotic approximationbarrierfloating strikelookbackdown-and-out

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The evaluation of barrier option prices under stochastic volatility
• An analytic pricing formula for lookback options under stochastic volatility
• Pricing variance swaps under hybrid CEV and stochastic volatility
• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing under hybrid stochastic and local volatility

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