A Mellin transform approach to pricing barrier options under stochastic elasticity of variance

DOI10.1002/ASMB.2731MaRDI QIDQ6581470

Jiling Cao, Jeong-Hoon Kim, Hyun-Gyoon Kim, Wenjun Zhang

Publication date: 30 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Mellin transformasymptotic expansionbarrier optionstochastic elasticity of variance

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
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