Analytical pricing of single barrier options under local volatility models

DOI10.1080/14697688.2015.1101483zbMath1468.91167OpenAlexW2218290098MaRDI QIDQ5001176

Masaaki Kijima, Hideharu Funahashi

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1101483

zbMATH Keywords

symmetrizationlocal volatilitybarrier optionput-call symmetry

Mathematics Subject Classification ID

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

Related Items (3)

An analytical approximation for single barrier options under stochastic volatility models ⋮ Static replication of barrier-type options via integral equations ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

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