Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms

DOI10.1016/j.jedc.2021.104113zbMath1475.91351OpenAlexW3149969533MaRDI QIDQ2246590

Chao Shi, Chenxu Li, Ning Cai

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104113

zbMATH Keywords

CEV modelHilbert transformsstochastic volatility models with jumpsdiscretely monitored barrier optionsjump diffusion models with multifactor stochastic volatilityMalliavin calculus based expansions

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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