VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY

DOI10.1111/mafi.12063zbMath1348.91265OpenAlexW1931590282MaRDI QIDQ5739187

Zhanyu Chen, Thorsten Rheinländer, Elisa Alòs

Publication date: 15 July 2016

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

Full work available at URL: https://doi.org/10.1111/mafi.12063

zbMATH Keywords

Malliavin calculusself-dualitystochastic volatility modelsbarrier optionsput-call symmetry

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Barrier option pricing under the 2-hypergeometric stochastic volatility model ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

Cites Work

• Symmetric martingales and symmetric smiles
• On the duality principle in option pricing: semimartingale setting
• A decomposition formula for option prices in the Heston model and applications to option pricing approximation
• Self-dual continuous processes
• Contingent Claims and Market Completeness in a Stochastic Volatility Model
• Quasi--Self-Dual Exponential Lévy Processes
• Change of Time and Change of Measure
• The Malliavin Calculus and Related Topics
• Multivariate Extension of Put-Call Symmetry
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• Malliavin differentiability of the Heston volatility and applications to option pricing

This page was built for publication: VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY