An analytical approximation method for pricing barrier options under the double Heston model

DOI10.1080/03610926.2018.1549257OpenAlexW2920817697WikidataQ128242239 ScholiaQ128242239MaRDI QIDQ5077926

Guang-Dong Zhang, Su-Mei Zhang

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1549257

zbMATH Keywords

asymptotic expansionstochastic volatilityoption pricingperturbation techniquebarrier option

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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