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Pricing double volatility barriers option under stochastic volatility - MaRDI portal

Pricing double volatility barriers option under stochastic volatility (Q5086643)

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scientific article; zbMATH DE number 7553842
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English
Pricing double volatility barriers option under stochastic volatility
scientific article; zbMATH DE number 7553842

    Statements

    title
    Pricing double volatility barriers option under stochastic volatility (English)
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    author
    Yuecai Han
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    Chunyang Liu
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    Qingshuo Song
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    published in
    Stochastics
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    publication date
    6 July 2022
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    zbMATH Keywords
    double volatility barriers option
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    stochastic volatility
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    risk-neutral pricing
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    eigenfunction expansion method
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    martingale method
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    numerical simulation
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    cites work
    Q2724080
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    Q4002114
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    Q4942767
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    Q2763689
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    Q4905685
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H30
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    62P05
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    zbMATH DE Number
    7553842
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    OpenAlex ID
    W3036294524
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