An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model

DOI10.1016/j.jmaa.2016.11.061zbMath1354.91151OpenAlexW2560607161MaRDI QIDQ504846

Chang-Rae Park, Ji-Hun Yoon, Junkee Jeon

Publication date: 17 January 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.11.061

zbMATH Keywords

stochastic volatilityasymptotic analysisdouble-barrier optionMellin transform method

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Pricing vulnerable path-dependent options using integral transforms ⋮ Pricing double volatility barriers option under stochastic volatility ⋮ Design of green bonds by double-barrier options ⋮ Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate ⋮ Pricing external barrier options under a stochastic volatility model

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