A fourth-order smoothing scheme for pricing barrier options under stochastic volatility
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Publication:3636740
DOI10.1080/00207160802681653zbMath1163.91429OpenAlexW1974131215MaRDI QIDQ3636740
Publication date: 29 June 2009
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160802681653
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A class of fourth-order Padé schemes for fractional exotic options pricing model, An analytical approximation for single barrier options under stochastic volatility models, An analytical approximation method for pricing barrier options under the double Heston model, The evaluation of barrier option prices under stochastic volatility, Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate
Cites Work
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
