An analytical approximation for single barrier options under stochastic volatility models
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Publication:1621902
DOI10.1007/s10479-017-2559-3zbMath1417.91499OpenAlexW2732623571MaRDI QIDQ1621902
Tomohide Higuchi, Hideharu Funahashi
Publication date: 12 November 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-017-2559-3
analytical approximationWiener-Itô chaos expansionlocal and stochastic volatility modelssingle barrier option
Related Items (6)
Closed form valuation of barrier options with stochastic barriers ⋮ Pricing double volatility barriers option under stochastic volatility ⋮ Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach ⋮ Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS ⋮ Artificial neural network for option pricing with and without asymptotic correction
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