Pricing formula for a barrier call option based on stochastic delay differential equation

DOI10.1016/j.spl.2023.109943OpenAlexW4387183273MaRDI QIDQ6192363

Myong-Guk Sin, Jongkuk Kim, Kyong-Hui Kim

Publication date: 12 February 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109943

zbMATH Keywords

stochastic delay differential equationpricing formulaconditional normalitybarrier call option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic functional-differential equations (34K50)

Cites Work

• The evaluation of barrier option prices under stochastic volatility
• Efficiently pricing barrier options in a Markov-switching framework
• Uncertain volatility models -- theory and application
• A path-independent method for barrier option pricing in hidden Markov models
• Risk-neutral valuation of power barrier options
• On pricing barrier options with regime switching
• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• A Course in Financial Calculus
• A Delayed Black and Scholes Formula
• PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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