Barrier option pricing under the 2-hypergeometric stochastic volatility model

DOI10.1016/j.cam.2017.06.034zbMath1405.91651arXiv1610.03230OpenAlexW2530647439MaRDI QIDQ2406299

Manuel C. Guerra, Rúben Sousa, Ana Bela Cruzeiro

Publication date: 27 September 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.03230

zbMATH Keywords

stochastic volatilityasymptotic analysisfinanceregular perturbation methodoption pricing theory

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20)

Related Items (4)

Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus ⋮ An analytical approximation method for pricing barrier options under the double Heston model ⋮ Pricing formula for a barrier call option based on stochastic delay differential equation ⋮ Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model

Cites Work

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