An analytical approximation method for pricing barrier options under the double Heston model (Q5077926)
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scientific article; zbMATH DE number 7529879
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytical approximation method for pricing barrier options under the double Heston model |
scientific article; zbMATH DE number 7529879 |
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An analytical approximation method for pricing barrier options under the double Heston model (English)
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20 May 2022
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asymptotic expansion
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barrier option
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option pricing
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perturbation technique
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stochastic volatility
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