Efficiently pricing double barrier derivatives in stochastic volatility models

DOI10.1007/s11147-013-9094-4zbMath1307.91174OpenAlexW2088843545MaRDI QIDQ488214

Matthias Scherer, Marcos Escobar, Peter Hieber

Publication date: 23 January 2015

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-013-9094-4

zbMATH Keywords

first passage timesstochastic volatilitybarrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ On the convergence scheme in the CRR model ⋮ Valuation of variable annuities under stochastic volatility and stochastic jump intensity ⋮ An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model ⋮ Barrier option pricing of mean-reverting stock model in uncertain environment

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