An analytical approximation for single barrier options under stochastic volatility models (Q1621902)
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scientific article; zbMATH DE number 6976237
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytical approximation for single barrier options under stochastic volatility models |
scientific article; zbMATH DE number 6976237 |
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An analytical approximation for single barrier options under stochastic volatility models (English)
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12 November 2018
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single barrier option
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analytical approximation
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local and stochastic volatility models
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Wiener-Itô chaos expansion
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0.94117963
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0.9270168
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0.9251472
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0.92207223
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0.91505927
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0.9133009
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0.91262686
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0.90977824
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0.9062483
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